CVA Market Risk Manager

5 days left

Recruiter
Citi
Location
London, United Kingdom
Salary
Competitive
Posted
22 May 2019
Closes
21 Jun 2019
Ref
5896407
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
  • Primary Location: United Kingdom,England,London
  • Education: None
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19025172


Description

Job Purpose:

CVA Risk Management is responsible for the market risk management of Citi's CVA (Credit Valuation Adjustments) globally. Recently, Citi has made significant commitments to its regulators to enhance the management of counterparty risk associated with Securities Financing Transactions (SFT). CVA Market Risk will provide significant input into this initiative.

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. The recent OCC focus on Derivatives and Securities Financing Transactions (DSFT) will also expand the group's function.

Key Responsibilities:

• Work with Markets Quantitative Analysis (MQA) to develop and implement CVA and FVA valuation and risk methodologies for SFT.
• Identify the population of SFTs
• Evaluate the quality of available data
• Evaluate test results
• Analyze SFT collateral quality, liquidity and wrong-way risk
• Work with MQA, Credit Risk, IT and Quantitative Risk and Stress Testing (QRS) to implement models for Risk Capital and extend their use in CCAR and BAU risk measurement.

Qualifications

Knowledge, skills and experience required:

• In-depth understanding of product characteristics, pricing methods and hedging techniques for SFTs
• Similar understanding of other derivatives will be an advantage
• Knowledge of funding and liquidity
• A background in trading, risk management or structuring would be a strong advantage
• Good computing skills essential: specifically advanced spreadsheet and PowerPoint use
• Programming/modelling experience would be an advantage
• 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
• 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
• Demonstrates an appreciation of a diverse workforce
• Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

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

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