- London, England, United Kingdom
- Permanent, Full time
- Credit Suisse -
- 21 Jul 18
XVA Market Risk Manager # 111699
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.
The role is for an experienced quantitative market risk manager in the market risk team responsible for the XVA Management Trading desk globally.
The desk is a centralized function that has a broad and expanding mandate that primarily includes pricing and dynamically hedging CVA, DVA, FVA and Collateral Discounting risk.
Additionally the desk manage a centralized capital optimization effort focused on market and credit risk RWA, Initial Margin management and central trade compressions.
Thus prior experience in any of these areas is a definite advantage.
Key role responsibilities include :
Market Risk Management
- Capture, monitor and understand all material risks in the portfolio and ensure these are reported accurately.
- Monitor underlying market conditions, liquidity issues and potential macro as well as idiosyncratic event risks.
- Ensure detailed understanding of all P&L & risk drivers.
- Develop scenarios to control and understand tail risk exposures.
- Review and approve new complex transactions.
- Design and implementation of suitable risk management frameworks.
- Understand how Trading view, price and manage risk.
- Attend trading risk calls and maintain ongoing close communication with Trading and Quant teams.
- Provide effective challenge of trading risk, hedging strategies and methodologies.
- Ensure rapid reporting of risk limits to Trading and Trading Management and adherence to those limits.
Valuations and Capital
- Develop deep understanding of valuation models and regulatory capital rules.
Open to discussing flexible/agile working.
- Post graduate level education in a numerate subject or equivalent work experience. A MSc (or PhD) would be a distinct advantage.
- Experience working in a relevant field (e.g. risk management, trading, structuring). Experience in XVA would be ideal.
- She/he will have deep knowledge of derivatives across multiple asset classes and familiarity of their market & credit risk profiles.
- The ability to rapidly grasp, apply and explain detailed technical concepts.
- Excellent IT and programming skills.