Head of Xva and Collateral Risk Management Job at Crédit Agricole (London)

Job Description

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.

Job Responsibility

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 risks taken by all the desks under responsibilities and the reward for taking these risks using current or new methodologies
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
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

Requirements

MSc in finance, maths, engineering, economics, physics, or other numerate degree
Market risk or Trading experience
Strong Interest Rate, Credit and/or Hybrids Exotic product knowledge
Good understanding of counterparty risk issues
Management skills
Good communication skills
Pro-activity
Strong Financial skills
Strong knowledge of exotic products, including pricing methodologies
IT skills (Excel VBA)
Project Management

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Head of Xva and Collateral Risk Management

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