AVP - XVA Market Risk

Job Description

As a Barclays XVA Market Risk Manager, you will be joining the Counterparty Risk Trading (CRT) team and contribute towards pricing and active risk management of various Fair Value Adjustments. With a primary focus on supporting future capital calculationsfor the CVA under FRTB, you will have an opportunity to leverage your knowledge, identify opportunities and have responsibility for reports to senior management, regulators, and engagement with a variety of stakeholders across the business. Barclays is one of the worlds largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We offer careers that provide endless opportunity - helping millions of individuals and businesses thrive, and creatingfinancial and digital solutions that the world now takes for granted. At Barclays, we offer a hybrid working experience that blends the positives of working alongside colleagues at our onsite locations, together with working from home. We have a structured approach where colleagues work at an onsite location on fixed, anchor,days of the week, for a minimum of two days a week or more, as set by the business area (or nearest equivalent if working part-time hours). Please discuss the working pattern requirements for the role you are applying for with the hiring manager. Please notethat as we continue to embed our hybrid working environment, we remain in a test and learn phase, which means that working arrangements may be subject to change on reasonable notice to ensure we meet the needs of our business. What will you be doing• Being accountable for the accuracy and timely reporting of risk metrics used in the SA-CVA capital calculation, including regulatory CVA exposures and their associated hedges • Presenting key risks associated with the SA-CVA calculation to Front Office, senior management within Risk, regulatory bodies, and other parties • Leveraging knowledge on the dynamics of the XVA to identify opportunities for improved risk management of the SA-CVA sensitivities • Supporting the transition to the SA/BA-CVA capital calculation as we build out the infrastructure, reporting and analysis tools for successful delivery in Jan 2025 and beyond • Driving infrastructure upgrades and developments, including supporting continual XVA model changes and enhancements for the BA/SA-CVA capital calculations. • Coordinating the ongoing development of the stress testing framework for the SA-CVA risk metrics What were looking for:• Bachelors degree in Finance, Economics, Mathematics, or related quantitative field (Masters degree is preferred) or equivalent experience • Experience in quantitative risk management and analysis (e.g., leveraging Excel VBA/Python/SQL); knowledge of XVA or Regulatory CVA is a plus • Comfortable working to tight short-term deadlines and managing multiple workflows in a dynamic pressurised environment with a direct contribution to revenue and capital footprint • Highly motivated with demonstrated ability to work independently as well as collaborate well with others Skills that will help you in the role:• Established knowledge of market risk measures and techniques, e.g. greeks, stress testing and VaR • Excellent communicator, with the ability to engage with a variety of audiences and to challenge both laterally and vertically within the organisation • Natural interest in financial markets and derivative pricing/modelling • Able to navigate complex technology data flows/processes to actively seek out efficiencies within the team and/or across functions and drive continual improvement Where will you be workingIn the heart of Canary Wharf, our headquarters at Churchill Place boasts onsite amenities such as: a gym, staff restaurant and deli bar, and it is easily accessible by tube and bus links. With a population of around 5000 staff the atmosphere is second to nonewith a real buzz being created around the offices within. #LW2020