XVA Risk Manager - VP
- Recruiter
- Morgan McKinley
- Location
- London, UK
- Salary
- Competitive salary
- Posted
- 01 Dec 2021
- Closes
- 17 Dec 2021
- Ref
- 2697369862
- Job role
- Compliance/risk
- Sector
- Accounting - Public practice
- Experience level
- Manager
Job Summary
Job Description
Global investment bank seeks a VP level XVA risk Manager to be responsible for the market risk management of CVA (Credit Valuation Adjustment) and other associated valuation adjustments globally.
XVA Risk Management is responsible for the market risk management of s CVA (Credit Valuation Adjustment) and other associated valuation adjustments globally. As well as performing the core market risk management functions, the role entails extending the existing process across a wider range of products, implementing a consistent framework for measuring and managing the associated risks, and integrating the XVA into the overall market and counterparty risk framework.
This is done in close cooperation with the XVA trading desks, their respective quantitative and IT groups and financial controllers to enhance the current XVA measurement methodology and ensure effective delivery to the firm's risk systems, to enable active risk management of the exposure. The role will involve working 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).
Key Responsibilities:
* Reengineering and expansion of XVA stress testing infrastructure and capabilities
* Day-to-day risk management oversight for XVA (setting and enforcing limits, stress testing, etc.)
* Overseeing and ensuring the integrity of the risk monitoring process
* Interaction with Model Risk Management, Risk Analytics and Financial Control to ensure robustness of methodologies and models
* Interaction with Market and Credit Risk Managers to improve accuracy of regulatory and management reporting
* Interaction with regulators and auditors
Development Value:
XVA is an integral part of all derivative valuation and risk management, and has taken on significantly higher importance and profile in recent years. As a result, the team has direct exposure to almost every complex derivative product and works closely with traders, quants, IT and Financial groups as well as with many other areas of Risk Management.
Knowledge/Experience:
* In-depth understanding of product characteristics, pricing methods and hedging techniques for vanilla and exotic derivatives
* Understanding of valuation adjustments such as CVA, FVA, etc.
* A background in trading, risk management or structuring would be a strong advantage
Skills:
* Good computing skills essential: specifically advanced spreadsheet and PowerPoint use
* Programming/modelling experience would be an advantage
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
Competencies:
* Good interpersonal and communication skills
* Good attention to detail and strong analytical skills
* A willingness to take an active involvement in day-to-day activity and flexibility in addressing a number of projects simultaneously
* Ability to identify issues, build consensus, and drive projects through to resolution
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.
- London
- Permanent
- BBBH800639
- Dec 01, 2021
- Competitive
Job Description
Global investment bank seeks a VP level XVA risk Manager to be responsible for the market risk management of CVA (Credit Valuation Adjustment) and other associated valuation adjustments globally.
XVA Risk Management is responsible for the market risk management of s CVA (Credit Valuation Adjustment) and other associated valuation adjustments globally. As well as performing the core market risk management functions, the role entails extending the existing process across a wider range of products, implementing a consistent framework for measuring and managing the associated risks, and integrating the XVA into the overall market and counterparty risk framework.
This is done in close cooperation with the XVA trading desks, their respective quantitative and IT groups and financial controllers to enhance the current XVA measurement methodology and ensure effective delivery to the firm's risk systems, to enable active risk management of the exposure. The role will involve working 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).
Key Responsibilities:
* Reengineering and expansion of XVA stress testing infrastructure and capabilities
* Day-to-day risk management oversight for XVA (setting and enforcing limits, stress testing, etc.)
* Overseeing and ensuring the integrity of the risk monitoring process
* Interaction with Model Risk Management, Risk Analytics and Financial Control to ensure robustness of methodologies and models
* Interaction with Market and Credit Risk Managers to improve accuracy of regulatory and management reporting
* Interaction with regulators and auditors
Development Value:
XVA is an integral part of all derivative valuation and risk management, and has taken on significantly higher importance and profile in recent years. As a result, the team has direct exposure to almost every complex derivative product and works closely with traders, quants, IT and Financial groups as well as with many other areas of Risk Management.
Knowledge/Experience:
* In-depth understanding of product characteristics, pricing methods and hedging techniques for vanilla and exotic derivatives
* Understanding of valuation adjustments such as CVA, FVA, etc.
* A background in trading, risk management or structuring would be a strong advantage
Skills:
* Good computing skills essential: specifically advanced spreadsheet and PowerPoint use
* Programming/modelling experience would be an advantage
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
Competencies:
* Good interpersonal and communication skills
* Good attention to detail and strong analytical skills
* A willingness to take an active involvement in day-to-day activity and flexibility in addressing a number of projects simultaneously
* Ability to identify issues, build consensus, and drive projects through to resolution
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.
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