The newly formed XVA Market Risk team is seeking an XVA Risk Manager. The team is within the Market Risk function. Main responsibility of this role is to contribute to set-up and develop market risk functionalities for the management of XVA risks.
The XVA desk has the mandate to price and actively manage CVA (Credit Valuation Adjustment) and FVA (Funding Valuation Adjustment). CVA and FVA are jointly referred to as XVA.
This is a new role. It requires the capacity to help designing and delivering innovative risk management solutions and to work closely with key stakeholders, including traders, quants, and other risk managers.
Key Roles and Responsibilities
Reviewing, monitoring and analysing daily XVA risks against established management action triggers and limits
Developing and implementing XVA risk management limits, stress test processes, control and risk tolerance framework
Prototyping and developing market risk tools for reporting and analysing XVA risks. These include analysis of XVA hedge effectiveness and P&L predict and explain
Participating in the design, requirements specification, and user acceptance test of the XVA risk infrastructure
Participating in the integration, maintenance, and in user acceptance test of the XVA VaR engine
Performing XVA model reviews on behalf of market risk, in conjunction with the quantitative model validation team
Qualifications and Skills
Degree in a quantitative discipline, Masters preferred.
Strong understanding of financial products and models with good grasp of market risk concepts.
At least 5 years of risk management, model validation or quant analyst experience
Proficient in excel and strong programming skills necessary
Previous XVA experience is not required, but would be considered an advantage
Capability of working independently taking a hands-on practical approach to solve problems.
Good communication skills required to engage diverse team of stakeholders.
How To Apply
You can search and view current opportunities across our organisation and apply immediately by visiting www.standardchartered.com and selecting Careers. To help speed up your application, please note the following:
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It usually takes 15 - 20 minutes to complete the application form; you can save your application at any time and return to complete it at your convenience.
The closing date for applications is 11/06/2017. Please note all closing dates are given in Hong Kong time (GMT + 8 hours). We aim to respond to successful applicants within four weeks and will keep a record or your application in our database so that we can contact you when suitable vacancies arise in future.
Diversity and Inclusion
Standard Chartered is committed to diversity and inclusion. We believe that a work environment which embraces diversity will enable us to get the best out of the broadest spectrum of people to sustain strong business performance and competitive advantage. By building an inclusive culture, each employee can develop a sense of belonging, and have the opportunity to maximise their personal potential.