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.
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Description CVA Risk Management is responsible for the market risk management of Citi's CVA (Credit Valuation Adjustments) globally. In addition to typical market risk responsibilities, this includes improving the accuracy of measurement of CVA, across a wide 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 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 within the ICG Risk organization to improve the accuracy of regulatory reporting, including stress testing and capital adequacy processes. CVA MRM is integral to the production of the Counterparty Risk component of Citi's CCAR submission and this position is expected to be the lead for this activity, and to cover risk management responsibilities aligned with CCAR projects, e.g., risk capital and stress testing.
Risk management oversight for CVA and CCAR counterparty risk submission
Management of a team of five market risk managers in New York, as well as coordination across the global team also based in London
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
Review and approve transactions for dynamic hedging of counterparty risk
Monitor compliance with risk limits/triggers
Frequent interaction with Financial Division to understand sources of CVA variation and address valuation considerations
Interaction with Model Risk Management, Risk Analytics and Finance 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
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
Familiarity with the requirements of the counterparty risk and/or trading book submissions in CCAR would be an advantage.
Good computing skills essential: specifically advanced spreadsheet and PowerPoint use
Programming/modelling experience would be an advantage
Experience of large-scale technology project implementation and/or management would be a strong advantage
Internal Number: 5464337
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