XVA Market Risk Officer, Vice President

Team/Role Overview

This Market Risk Officer role sits within XVA Global Market Risk Department (GMR). CVA stands for Credit Valuation Adjustment, sometimes used interchangeably with XVA (as more “VAs” are introduced). CVA/XVA can be treated as a separate asset class, alongside the usual Rates, FX, Equities.

The Global XVA Market Risk team sits within Global Market Risk Management Department, and is a core Second Line of Defence function supporting Citi’s Markets business. The XVA Market Risk team has local presence in London, Singapore and New York, providing coverage on XVA (CVA, FVA, ColVA) across asset classes.

What you'll do

The role will benefit from close interaction and support from within the team/department, as well as engagement with key functions across the firm (XVA trading desk, Sales, Product Control and Technology). The expertise of an XVA Market Risk manager is often in demand.

Holder of this role will be expected to be involved in three key aspects of the function:

• BAU Market Risk management (VaR and Risk limit monitoring, transaction approvals);
• Stress Testing (both internal and regulatory);
• Supporting legal entity Market Risk management team as the subject matter expert (SME) on XVA topics.
• Working with XVA trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
• Working with senior risk managers in XVA Volcker compliance program
• Developing and maintaining an appropriate autonomous market risk limits framework with applicable limits and triggers
• Autonomously monitor business compliance with the firm’s market risk-related policies
• Participate in the development of business-level stress testing that properly considers risk concentrations by single issuer, risk rating, sector/industry and geography; review results and assess appropriate follow-up actions.
• Participate in the ongoing development, implementation and upgrade of risk systems including CRMR, XING, and Limit Central
• Working with senior mentors on well-defined mid to long term projects that require technical skills and strategic planning, enabling development in analytical capacity and critical thinking. Prime example is the incorporation of AI in XVA GMR daily work.
• Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment.

Your profile

Ideal candidate will already have good experience in XVA/ Market Risk/Counterparty Credit Risk/XVA valuation control, who understands the key concepts in XVA space and how XVA desks interact with asset class trading.

What we need from you

• Demonstrated relevant experience in the financial industry, prior exposure /experience on XVA topics preferred.
• Experience in Market Risk/Counterparty Credit Risk/XVA valuation control, who understands the key concepts in XVA space and how XVA desks interact with asset class trading.
• Degree in a quantitative or financial discipline.
• Knowledge of financial instruments and risk metrics, with quantitative skills including mathematics involved in risk estimation and modelling
• Excellent written and verbal communication skills
• Must be a self-starter, flexible, innovative and adaptive
• Ability to work collaboratively and with people at all levels of the organization
• Advanced analytical skills
• Programming (VBA/Python) and/or database management experience desirable.

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Industry Knowledge, Policy and Procedure, Policy and Regulation, Product Knowledge, Risk Controls and Monitors, Risk Identification and Assessment.

Other Relevant Skills

We offer

Job Family Group:

Risk Management

Job Family:

Market Risk

Time Type:

Full time

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Contact

For complementary skills, please see above and/or contact the recruiter.