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XVA Trading Risk Manager, Director (Hybrid)

London, United Kingdom
Closing date
Mar 19, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
We are seeking an outstanding candidate to be an XVA Trading Risk Manager, reporting into the Global Head of XVA Risk Management for Citi.

This position is to fill an opening in the Global Market Risk Management team for a senior risk manager to cover XVA Trading and Fair Value Option (FVO) elected debt inventory, i.e. Structured Notes. In addition to providing independent oversight of the market risks taken by the relevant desks, the XVA Trading Risk Manager will assess a broad spectrum of risks for the desk, liaising with other risk functions as necessary, including operational, credit, and counterparty risks. This is to provide partnership and thought leadership, as well as effective second line review and challenge, to support Citi's Risk & Controls objectives. The successful candidate will work closely with the trading desk and other risk and control functions, such as Finance, as well as partnering with technology on Transformation activities. Significant product knowledge is required.

The XVA team is responsible for measuring, monitoring and analyzing the organization's market risk exposure on a day-to-day and long-term basis for the associated financial products. The team covers the derivatives XVAs (e.g. CVA, FVA, DVA), including market factor sensitivities, as well as fair value option elected note issuance (FVO DVA).

Key activities in the role include setting and monitoring risk limits, approval of new transactions and utilization of dynamic hedging. Moreover, the role will require subject matter expert input into the design of strategic technology or digital tools to improve the standardization, timeliness and quality of Management Information as well as to meet new regulatory standards, e.g. for SA-CVA, and improve Risk & Controls through Citi's Transformation. Moreover, there are standard, as well as ad-hoc, internal and regulatory requests for information from the team pertaining to XVA trading risks / FVO debt inventory, including scenario analysis, capital adequacy / planning and stress testing (e.g. CCAR).

Citi has several underlying Product businesses that contribute to XVA risks and therefore the role requires interaction and strong communication across the firm with senior stakeholders; excellent communication and negotiation skills are therefore vital. The successful candidate needs to demonstrate an ability to communicate complex ideas concisely and effectively.

Key Responsibilities:
  • FVO DVA Market Risk lead.
  • Provide oversight and guidance over the assessment of broad complex issues, structure potential solutions and drive effective resolution with other senior stakeholders.
  • Provide advice to the businesses on an ongoing basis.
  • Review market risk positions, particularly under potential risk scenarios, and raise challenges to the desk if necessary. Liaise closely with the businesses to understand market trends and to report exposure under different market conditions.
  • Propose to senior management appropriate market risk limits for trading within the firm's risk appetite.
  • Review risks related to non-standard or structured trades and new products. Liaise closely with the business and other support functions to determine the nature and size of risks and ensure they are within the firm's risk appetite.
  • Provide detailed explanations of the market risk of the desk, both internally to senior management and the trading desk, and externally to the Bank's regulators.
  • Interact and work with other parts of the Risk organization to improve the frequency and range of stress testing and capital adequacy processes (e.g., legal entity ICAAPs, CCAR, Risk Appetite Programme).
  • Act as a change agent, helping to lead Citi's transformation efforts, especially as related to Market Risk, Stress Testing and Risk Appetite.
  • Identify and implement modernizing improvements relating to systems or risk reporting where needed relative to best practice.
  • Liaison with regulatory examiners, Internal Audit, and external auditors on critical Risk issues and oversee the implementation of related remediation.
Expertise / Competence:
  • Strong expertise in XVA and FVO DVA, specifically in XVA Market Risk management and governance is a pre-requisite.
  • Knowledge of the Trading Book vs Banking Book boundary and associated booking models to achieve effective risk & controls.
  • Proven risk management experience, ideally with perspective across peer organizations / an understanding of industry best practice.
  • Thought leadership to design enhanced processes and procedures through strategic transformation, and / or digital tools, as well as to enable implementation of new regulatory requirements.
  • Ability to challenge the business while partnering with them to drive the best results for the firm.
  • Control-focused, e.g. to analyze exposure / risk reports and follow-up on significant changes.
  • Leadership: takes ownership; delivers with pride; succeeds together.
  • Excellent written and verbal communications, interpersonal, and organizational skills.
  • Demonstrated work ethic and proven track record in driving results.
  • Shares knowledge and develops talent.
  • Effective at building relationships with key stakeholders and navigating a large organization.
Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Market Risk ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .

View the " EEO is the Law " poster. View the EEO is the Law Supplement .
View the EEO Policy Statement .
View the Pay Transparency Posting

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