Director Trader, Equity CVA (London/New York)

Director Trader, Equity CVA (London/New York)

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Job Description

Sitting in either London or New York, this role is an opportunity to join Equities xVA team and develop the next generation of xVA pricing and risk management capabilities.

The role is of a CVA trader to manage all aspects of deal pricing, book management and projects engagement and provide solutions specification and thought leadership as the desk is embarking on a substantial revamp. Closely related to the Equities Financial Resources Management (FRM) team, this role is an opportunity to contribute in the optimisation of the capital and liquidity footprint of the division, while working in a dynamic, collaborative and creative environment.

Equity xVA is a trading hub who prices and hedges Counterparty credit and funding risk (CVA and FVA) for all Equities businesses

Equities FRM (Financial Recourses Management), is a Business side function mandated to optimize and better govern regulatory and economic capital usage and also manage other financial resources like balance sheet and funding.  Under this umbrella the team is mandated to validate, model and optimize RWA, GSIB score, CCAR capital, Liquidity buffers and costs.

 

Key responsibilities

  • Pricing CVA and FVA for new applicable deals, monitoring the evolution of CVA/FVA MtM and risks.
  • Analysing and dynamically hedging risk of the CVA/FVA books, executing appropriate transactions internally and externally
  • Participating in LIBOR reform efforts and planning
  • Engaging with tech and Quant teams to problem solve, evolve the platform and capabilities.
  • Collaborating with internal partners and industry forums to improve Stress Testing Capabilities, as well as optimising the RWA footprint of CVA (CVA RWA under FRTB)
  • Working with the Quant and Risk Technology Risk Delivery teams to ensure appropriate risk capture for above mentioned models and also improving the core capabilities in the light of increasing calculation demands.
  • Price new structures and business initiatives from the regulatory and economic capital viewpoint for current and anticipated capital standards.
  • Constant improvement of business reports and analytics assisting in smart decision making
  • Regular dialogue with internal trading desks, structuring and sales.

 

Required skills and experience:

  • The successful candidate will need to have a proven track record in CVA/FVA management ideally of a portfolio including Equity derivatives.
  • A background in equity structured products space or at least a very good understanding of the risks and the business profile of structured equity derivatives would be beneficial.
  • Derivatives pricing and risk management experience, spanning a variety of products and asset classes
  • Extensive and in depth relevant experience acquired in a Trading/Structuring role with a peer bank/dealer
  • Good knowledge of the regulatory environment with a particular focus on its impact on Equity Derivatives as an asset class. Aptly verbed in regulatory capital terminology, including Basel rules, FRTB, SA-CCR etc.
  • Strong Scientific/Mathematics/Finance background
  • Able to assimilate and analyse complex information and distil the salient points
  • Strong communication skills
  • Financial mathematics skills
  • Excel and VBA, building and running basic excel based business models

 

Candidates applying for this role must be aware that it is a Certified Role, subject to the Certification Regime. The Certification Regime is one element of the Individual Accountability Regime which has come into effect on 7 March 2016. Under the Certification Regime, certain Citi entities must ensure that employees working in certain roles categorised as specified significant harm functions (Certified Roles) are assessed as fit and proper to carry out their role.

 

Under the guidance provided by the FCA and PRA, firms should have regard to the following when assessing fitness and propriety:

• Honesty, integrity and reputation

• Financial soundness

• Competence and capability

 

In order to comply with the requirements of the Certification Regime, certain Citi entities must take reasonable care to ensure that an employee does not perform a Certified Role without first being certified as Fit and Proper. For this reason, you will be assessed for this role against the Fit and Proper requirements, as described above. This assessment will be carried out through extensive interviews, self-disclosures, permitted criminal record checks, reference checks, credit checks and other background checks. If hired for this role, you will also be required to complete an annual declaration regarding your Fitness and Propriety.

 

By submitting your application, you acknowledge that you have read the information above and that you are applying for a Certified Role. You also agree to Citi carrying out any additional screening required, including permitted criminal record checks, reference checks, credit checks and any other background checks.

 

Citi is an Equal Opportunities Employe

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - GB

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Time Type :Full time

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

 

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