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CVA Market Risk Analyst Job Details

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Employer:  Citi Group
Job Ref No:  11021551
Job Title:  CVA Market Risk Analyst
Sector:  Other
Sub Sector:  Other
Risk Type:  Other
Expertise:  Risk Manager
Job Purpose:
The CVA Risk Management team is responsible for the management of Citi's CVA (Credit Value Adjustments) globally. This includes improving the accuracy of measurement of CVA, 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 will involve working with desks and their respective quantitative and ITgroups and financial controllers to enhance their current measurement methodology and ensuring 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.
Job Background/context:
Credit Value Adjustment (CVA) has been a significant contributor to the volatility of the firm's PL since we adopted Fair Value Accounting (FAS 157) in the beginning of 2007. At the end of 2008, a dedicated team of CVA Risk Managers was established to focus on the analytical aspects of calculating and managing CVA across all OTC derivative products for all of our trading desks globally.
Key Responsibilities:
  • Risk management oversight for CVA
  • Active involvement in projects to improve accuracy of measurement of CVA
  • Overseeing and ensuring the integrity of the risk monitoring process
  • Review and approve, in consultation with senior risk managers, 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 Validation, 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
Development Value:
CVA is an integral part of all derivative (and some non-derivative) valuation and risk management and has taken on significantly higher importance and profile in recent years. As a result, the team will have direct exposure to almost every complex product in ICG and will work closely with traders, quants, IT and Financial groups as well as with many other areas of Risk Management.Knowledge/Experience:
  • Good understanding of product characteristics, pricing methods and hedging techniques for vanilla and exotic derivatives
  • Similar understanding for 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 advantag
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
Skills:
  • Good computing skills essential: specifically advanced spreadsheet use
  • Programming/modelling experience would be an advantage
Competencies:
  • Good interpersonal and communication skills
  • Good attention to detail and strong analytical skills
  • Ability to work well as part of a team
  • 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, take initiative and operate with limited supervision
  • 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 organisational success.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Employment Type:  Full Time
Region/Country:  Europe, UK
City:  London
Address: 
Post Date:  03/14/2012

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