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