Global Markets - Credit - CVA Trader - Assoc/VP
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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.
- 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
Job Status: Full Time
Job Reference #: 17077783