Market Risk Senior Analyst, Credit Valuation Adjustment (CVA) Assistant Vice President

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your ambition, skillsets and knowledge to Citi’s Risk Management team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

The Global XVA Market Risk team sits within the 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.

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 officer is often in demand. Holder of this role will be expected to be involved in 3 key aspects of the function:

• 1. BAU Market Risk management (VaR and Risk limit monitoring, transaction approvals)

• 2. Stress Testing (both internal and regulatory)

• 3. Supporting legal entity Market Risk management team as the subject matter expert (SME) on XVA topics

This is not an admin or reporting role and the holder is expected to develop into a key member of the team.

What you’ll do

• Monitor trading limits including responsibility for approving transactions over certain established limits

• Work with traders or trading management to recommend actions to mitigate risk

• Product knowledge: monitor and analyse the organisation’s risk exposure by understanding the risks and rewards of the Citi products. This also includes being able to understand and articulate solutions to mitigate risks of those products

• Work with XVA trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems

• Facilitate analysis and meaningful reporting of the risk data

• Work with senior risk managers in market specific compliance programs

• Develop and maintain an appropriate autonomous market risk limits framework with applicable limits and triggers

• Monitor business compliance with the firm’s market risk-related policies

• Assist in product specific risk reporting and limit monitoring

• Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting

• 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

• Well defined mid to long term projects in working with senior mentors that require technical skills and strategic planning, enabling development in analytical capacity and critical thinking

• Appropriately assess risk when business decisions are made, demonstrating particular 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 regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

What we’ll need from you

• Demonstrated 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

• Knowledge of financial instruments and risk metrics

• Has an eye for improvement and the curiosity to learn

• Able to manage deliverables in a timely and quality fashion

• Proficient 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 organisation

• Work collaboratively with regional and global partners in other functional units; ability to navigate a complex organisation

• Excellent project management and organisational skills and capability to handle multiple projects at one time

• Proficient in MS Office applications (Excel/VBA, Word, PowerPoint) and SQL

• Experience in performing data analysis

• Degree in a quantitative or financial discipline

What we can offer you

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as: 

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure

• A discretional annual performance related bonus 

• Private medical insurance packages to suit your personal circumstances

• Employee Assistance Programme  

• Pension Plan 

• Paid Parental Leave 

• Special discounts for employees, family, and friends 

• Access to an array of learning and development resources 

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energised to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

#LI-PM3

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