RWA Controllers – Derivatives (SA-CCR) | Mumbai, Maharashtra

???? Location: Mumbai, Maharashtra
???? Job Type: Full-Time

Job Description

The RWA Controllers – Derivatives role is a key part of the Risk Weighted Assets (RWA) Controllers team. The position is responsible for the calculation, governance, and oversight of Standardized Approach to Counterparty Credit Risk (SA-CCR) RWA and Supplementary Leverage Exposure (SLE) for Counterparty Credit Risk (CCR) exposures.

This role involves ensuring accuracy, compliance, and transparency in RWA calculations, working closely with risk, finance, technology, and regulatory teams. The ideal candidate should have deep expertise in regulatory capital calculations for derivatives and strong analytical, project management, and communication skills.

Key Responsibilities

1. RWA Computation & Oversight

✔ Perform and validate RWA (SA-CCR) and SLE calculations for CCR exposures
✔ Ensure the accurate implementation of RWA methodologies within Citi’s infrastructure
✔ Develop and refine computational models, assumptions, and interpretations
✔ Provide critical challenge and diagnostics for regulatory capital calculations

2. Governance & Controls

✔ Establish governance and control frameworks for accurate RWA reporting
✔ Ensure regulatory capital calculations align with Basel III requirements
✔ Perform second-line-of-defense reviews and address feedback from control functions
✔ Develop and implement Artificial Intelligence & Machine Learning tools to enhance transparency

3. Reporting & Analytics

✔ Conduct variance analysis and attribution of exposure and risk factor changes
✔ Ensure standardized exposure, Jump-to-Default (JTD), and CVA RWA calculations are accurate
✔ Develop senior management-ready materials and present analytics to key stakeholders

4. Regulatory & Compliance Oversight

✔ Manage and respond to reviews from Internal Audit, Independent Compliance Risk Management, and Regulators
✔ Ensure timely remediation of regulatory feedback and audit findings
✔ Define and develop robust control processes to ensure compliance with US Basel III rules

5. Stakeholder & Process Management

✔ Work closely with Finance, Front Office, Treasury, Technology, Audit, Independent Risk, and other teams
✔ Identify opportunities for process improvement, efficiency, and automation
✔ Drive change and influence regulatory compliance outcomes

Qualifications & Skills

✔ Bachelor’s degree in Science, Technology, Engineering, Mathematics (STEM) (Master’s degree preferred)
✔ 7+ years of experience in SA-CCR and regulatory capital computations
✔ Strong understanding of US Basel III regulatory capital rules for counterparty credit risk
✔ Expertise in Interest Rate, Equity, Credit, FX, and Commodity Derivatives
✔ Familiarity with structured products like CDOs, credit index products, correlation products
✔ Experience in Basel RWA rule implementation at large financial institutions preferred
✔ Strong analytical, problem-solving, and attention-to-detail skills
✔ Excellent communication skills—ability to simplify complex regulatory concepts for various audiences
✔ Ability to manage multiple priorities and work under pressure
✔ Advanced proficiency in Microsoft Excel, Access, and database query applications

Work Location

???? Mumbai, Maharashtra

Why Join Us?

✔ Work in a highly dynamic and regulatory-driven environment
✔ Collaborate with cross-functional teams across finance, risk, and technology
✔ Gain expertise in derivatives, regulatory capital, and risk management
✔ Career growth opportunities in a leading global financial institution

???? Apply Now & Take Your Career to the Next Level! ????