Job Description

About Citi:
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.
Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
Business: Markets & Securities Services
Division: Global Credit Markets
The GCM CVA desk is part of the Global Credit Markets Counterparty Risk and Capital Management function and is responsible for managing counterparty risk for all GCM derivative products. The main objective of the GCM CVA desk is to facilitate profitable market making collectively across all GCM Trading desks duly considering counterparty risk generated through the trading activity. While the job is based in New York, the job involves managing counterparty risk globally for GCM and hence, involves interaction with clients, other GCM trading desks, salespersons, MQA, IT, Risk and other control functions globally.
Key Responsibilities:
  • Manage CVA risk and pnl- daily pnl predict, CVA risk generation, PAA generation and pnl explain. 
  • Facilitate trading activity by other GCM trading desks- pre-trade CVA pricing, initial margin for trades, compliance with limits set by Credit Risk
  • Manage Clearinghouse exposure
  • Work with other teams in Citi to  drive the development and enhancement of mathematical models to help price and manage CVA and counterparty risk
  • Work with Credit Risk to set Initial Margin methodology for different credit derivative products and stress loss framework and limits for counterparties
  • Monitoring of initial margin adequacy and stress loss limit compliance
  • Review and opine on changes to existing ISDAs/CSAs or non-standard terms in new ISDAs/CSAs

Experience, Skills and Capabilities:
  • Candidates will require a solid background and experience in managing CVA on fixed income OTC derivatives.  They should be conversant with credit derivatives and familiar with trading and operational practices & processes. A minimum of 3-5 years of relevant experience required.
  • Candidates must be fully versed in the use of Microsoft Excel at an advanced level.  Knowledge of internal pricing and risk tools would be a distinct advantage but is not essential.
  • This position requires intensive day to day communication with clients, other GCM trading desks, salespersons, MQA, IT, Risk and other control functions globally.  Written and oral communication skills are therefore highly important and a paramount consideration
  • Educated to degree standard in Mathematics or an associated subject e.g. Engineering, Physics
  • Ability to work under pressure in volatile market conditions with multiple simultaneous enquiries and objectives. 
  • Must develop a clear understanding of our internal policies and controls.  
  • Must be able to build rapport with many stakeholders and effective co-ordination across different functions.


Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity

Application Instructions

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