XVA Market Risk Officer - VP

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in data analysis, problem solving and communication to Citi’s Market Risk XVA 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 Market Risk XVA is part of Global Market Risk (GMR) function, responsible to review and challenge in a timely manner the proposed Risks by XVA Trading and Structured Notes business. XVA Market risk pertains to potential CVA loss due to market movements such as changes in interest rates, equity prices, credit spreads and foreign exchange rates.  The Market Risk XVA officer is responsible for measuring, monitoring and analysing XVA risks on a day-to-day and long-term basis for various financial products, and other responsibilities mandated by Mark to Market policy.

For this role particularly, The Market Risk XVA officer will take an active role in supporting GMR XVA FRTB CVA lead to partner with key stakeholders, and ensure the firm built strategic FRTB infrastructure and be operational ready prior to regulatory FRTB application. The person will conduct GMR FRTB SA CVA Sensitivity UAT, create End-to-end framework and testing documents, engaging with XVA trading, Finance RWAC, Front Office IT and Risk IT to ensure that FRTB risks are feeding accurately and timely for FRTB SA CVA regulatory capital calculation

The Market Risk officer will also responsible for implementing GMR XVA Data strategy. Concretely, he/she will be driving the implementation on target XVA risk reporting dashboard development, building strategic risk solution with trend and analysis capability, engaging with Asset Class XVA Risk managers to embedding the new tools into daily BAU risk management practice et. The person is also expected to work with Risk manager, Risk reporting and IT to investigate XVA data quality issue and follow up with relevant team to remediation.

The role requires basic commercial awareness, need to have good understanding on CVA or counterparty credit risk, and it requires developed communication and diplomacy skills are required in order to guide, influence and convince others

What you’ll do:

• Implementing GMR target XVA dashboard in Tableau, in partner with XVA Risk reporting team
• Ensure the accuracy and timeliness of XVA management reporting
• Working with each trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
• Investigate XVA Data Quality issues impacting daily risk management, in partner with Asset class XVA risk managers, Risk reporting, Risk Control and IT partners
• Conduct detailed GMR FRTR SA CVA sensitivity UAT, actively follow up with investigation and issue remediation
• Actively participate the FRTB end-to-end process build up, ensure regulatory compliance. 
• Support team lead to oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting
• Challenge status quo and drive changes to be more efficient in review and challenge 1st line through Data analysis.
• Participate in the ongoing development, implementation and upgrade of risk systems including CRMR/VaR, CRMR/Issuer risk, LimitCentral/Volcker, LimitCentral/issuer risk

What we’ll need from you:

• Solid relevant experience
• Knowledge of financial instruments and risk metrics
• Good understanding in CVA modelling or Counterparty Credit Risk modelling
• Solid understanding on FRTB CVA requirement
• Detail oriented, comfortable working with large amount of data for detailed data analysis.
• Must be a self-starter, proactive, innovative and adaptive with can-do attitude
• Team player, Ability to work collaboratively and autonomously
• Excellent written and verbal communication and interpersonal skills
• Excellent project management skills and capability to handle multiple projects at one time
• Proficient in MS Office applications (Excel/VBA, Word, Power Point), SQL, Tableau, Python etc
• Bachelor’s/University degree in a quantitative or financial discipline, Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

What we can offer you:

Ability to make positive changes in a world leading bank, building strategic infrastructure and process across multiple key functions. Hands-on experience in XVA risk management. Opportunity to gain deep understanding and experience in XVA Trading and XVA Risk management through world class risk management framework Global network with brilliant and supportive colleagues, vast learning opportunities for your future growth.

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 Program  
• 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 energized 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-TM3

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