• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2019-04-18

CVA Risk Manager

CVA Risk Manager

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19018022


Description

About Citi:

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

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  The recent OCC MRA on 'DSFT' will also expand the group's function.

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
  • Interaction with Model Risk Management, Risk Analytics and Financial Control to ensure robustness of methodologies and models
  • Interaction with ICG Market and Credit Risk Managers to improve accuracy of regulatory and management reporting
  • Interaction with regulators and auditors
  • Key role in production and oversight of Citi's CCAR counterparty risk (CCR) submission
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

  • 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
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

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 organizational success.