Register  |  Log In  |  Contact Us

CVA Market Risk Manager

Organisation
Citi
Reference
18053677
Contract Type
Permanent
Sector
Banking & Finance
Location
London
Salary
competitive
Expiry Date
30/09/2018
Market Risk Manager

Job Description

Job Purpose:

CVA Risk Management is responsible for the market risk management of Citi’s CVA (Credit Valuation Adjustments) globally. As well as core market risk management functions, this includes improving the accuracy of measurement of CVA (and other XVA), extending the existing process across a wider range of products, implementing a consistent framework for measuring and managing the associated risks, and integrating the CVA into the overall market and counterparty risk framework. This involves working with trading desks and their respective quantitative and IT groups and financial controllers to enhance their current measurement methodology and ensure effective delivery to the firm’s risk systems to enable active risk management of the exposure. It will also involve working with other parts of the Risk organization to improve the accuracy of regulatory reporting, including stress testing and capital adequacy processes.

 

Job Background/Context:

Since the credit crisis, there has been increased regulatory, internal and external audit focus on CVA processes and risk management. The introduction of Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) annual stress-testing exercise (with similar initiatives by the other regional regulators) and the ‘CVA Variability Charge’ in the Basel III capital regime has added further to the relevance of robust CVA risk management and technical capabilities.

 

Key Responsibilities:

  • Risk management oversight for CVA, including setting and enforcing limits, stress testing, etc.
  • Review and approve transactions for dynamic hedging
  • Drive projects to improve accuracy of measurement of CVA
  • Overseeing and ensuring the integrity of the risk monitoring process
  • Review and approve risk framework for CVA for risk-taking units
  • Monitor compliance with risk limits/triggers
  • Frequent interaction with Financial Division to understand sources of CVA variation

 

Development Value:

CVA is an integral part of all derivative valuation and risk management, and has taken on significantly higher importance and profile in recent years. As a result, the team has direct exposure to almost every complex product in ICG and works closely with traders, quants, IT and Financial groups as well as with many other areas of Risk Management.

 

Qualifications

Knowledge/Experience:

  • In-depth understanding of product characteristics, pricing methods and hedging techniques for vanilla and exotic interest rate, FX and credit derivatives
  • Similar understanding of other derivatives will be an advantage.
  • Knowledge of the credit processes and infrastructure within the firm will be useful
  • A background in trading, risk management or structuring would be a strong advantage

 

Skills:

  • Good computing skills essential: specifically advanced spreadsheet and PowerPoint use
  • Programming/modelling experience would be an advantage

 

Qualifications:

  • An undergraduate or postgraduate degree in a quantitative or financial discipline. 
  • Additional qualifications, such as CFA or Financial Risk Management (FRM) will be an advantage

 

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

 

Competencies:

  • Good interpersonal and communication skills
  • Good attention to detail and strong analytical skills
  • Ability to manage within and across the organization
  • A willingness to take an active involvement in day-to-day activity and flexibility in addressing a number of projects simultaneously. This is a 'hands-on' role.
  • Ability to identify issues, build consensus, and drive projects through to resolution

 

Valuing Diversity:Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.

 

Citi is an Equal Opportunities Employer