Job description

Business type

Types of Jobs - Corporate & Investment Banking

Job title

Head of XVA and Collateral Risk Management

Contract type

Permanent Contract

Management position

No

Job summary

Responsible for overseeing XVA and Collateral Risk Management within Crédit Agricole CIB's Global Markets Division in London. The scope of coverage includes G3 Rates, Credit Repo Indexing, Capital Markets Funding, Credit Trading, and Counterparty Credit Risk (CCR).

These activities primarily focus on the management of counterparty exposure and funding risks, which are critical components in the pricing and valuation of derivative products.

The role has a broad remit, requiring close collaboration with front-office business lines and market activity monitoring teams. It operates within a dynamic environment shaped by evolving market conditions and an increasingly complex regulatory landscape.

Delegated Daily Responsibilities

To monitor market activity, review positions taken by the XVA desk and collateral desk and G3 rates, Credit repo indexing, Capital market funding and Credit trading & CCR to communicate to Senior Management:

• Review market news and movements
• Review positions / exposures and changes to the positions /
  exposures (Marly) on the defined scope of responsibilities
• Review of the P&L analysis and risk reports on the defined
  scope of responsibilities
• Liaise, co-ordinate and communicate with the Front Office
• Review risks taken by all the desks under responsibilities and
  the reward for taking these risks using current or new
  methodologies:
• Analyse risks taken by the XVA desk and collateral desk
  - Positions, Sensitivities & VaR figures
  - Stress Test Results
• Liaise with HO regarding risk analysis on G3 rates, Credit
  repo indexing, Capital market funding, Credit trading and CCR.
  Delegated Periodic Responsibilities
• Communicate to senior business and risk management in
  support of preparation of dashboard and collection of material
  for weekly risk meetings and HO Market Risk Committee
  (MRC)
• Conduct annual review of market risk limits and submit
  recommendations to the HO MRC for validation
• Contribute to the month end process (computation of
  reserves, pricing committee) in collaboration with XVA desks,
  Finance, and MAM
• Contribute to the London Risk Committee (LRC on the
  defined scope of responsibilities

Other Delegated Responsibilities

• Validate risk indicators, produce official risk reports and notify
  limit breaches
• Analyse new limit and one-off requests and make
  recommendations to the MRC for validation
• Investigate limit breaches and discuss remedial action with
  FO, where appropriate.
• Participate in risk management methodology evolution and in
  the development of hold back reserves
  methods and their implementation
• Produce and distribute weekly risk reports

Supplementary Information

Join our team at Crédit Agricole CIB, the corporate and investment banking arm of 10th largest banking group. We offer more than just a job.

You will be part of a dynamic and collaborative work environment where CSR is embraced in our day-to-day business operation, innovation is encouraged and diversity is celebrated.

Crédit Agricole CIB, the first French bank to have committed to the Equator Principles, is a pioneer and global leader in sustainable finance. Our commitment to sustainability and corporate responsibility means that your work will have a positive impact on our communities and the environment.

With a people-centric culture where everyone is valued, and opportunities for personal and professional growth, Crédit Agricole CIB is not just a place to work - it is where you make an impact.

Our hiring process is open to all and should you have any particular needs or you may require adjustments, please let us know.

Position location

Geographical area

Europe, United Kingdom

City

London

Remote work

hybrid

Candidate criteria

Minimal education level

Bachelor Degree / BSc Degree or equivalent

Academic qualification / Speciality

MSc in finance, maths, engineering, economics, physics, or other numerate degree

Experience

• Market risk or Trading experience
• Strong Interest Rate, Credit and/or Hybrids Exotic product
  knowledge
• Good understanding of counterparty risk issues

Required skills

• Management skills
• Good communication skills
• Pro-activity

Technical skills required

• Strong Financial skills
• Strong knowledge of exotic products, including pricing methodologies
• IT skills (Excel VBA)
• Project Management