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Markets Risk & Controls - Valuation Adjustments, Director

Closing date
26 Jun 2022

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Contract Type
Full Time
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This role provides an exciting opportunity for leadership within the ICG Markets Risk & Controls team, building out new Front Office capabilities and enhancing governance over Price Risk controls and monitoring capabilities. The scope of the role extends across ICG Markets globally with particular focus on owning a program to define and implement the Front Office target state Valuation Adjustment infrastructure and processes. The role will involve senior level engagement with the business, Technology, Finance, Risk and internal auditors.

Markets Risk and Controls establishes and maintains a robust 1st Line of Defense (1LoD) control environment to manage risks within risk appetite. Trading Risk & Control (TRC) within Markets Risk and Controls sets the standards for Front Office management of Price Risk and drives implementation of those standards.

TRC provides governance of Price Risk, including horizontal oversight of the inherent and residual risks across ICG Markets for this risk type. To manage residual risk within appetite, the team defines and drives the implementation of standardized Price Risk controls and monitoring capabilities.


This role is responsible for driving the development and implementation of a strategic vision for Valuation Adjustment capabilities and processes, enabling enhanced automation and controls across first line and control functions. This includes responsibility for 1LoD governance over the completeness and accuracy of Valuation Adjustments for fair valued inventory, including adjustments for bid/offer, liquidity, and for model related purposes.

Key Responsibilities
  • Drive the strategic vision for Valuation Adjustment capabilities and processes enabling enhanced automation, providing thought leadership on potential solutions
  • Manage the program for implementing the vision for automated Valuation Adjustment capabilities
  • Implement first line processes to generate and review Valuation Adjustments, ensuring consistency and accuracy across ICG Markets
  • Enhance the design and implementation of the control assessment framework relating to valuation adjustments
  • Define and document key controls and monitoring tools, and establish sustainable evaluations of the controls
  • Drive the governance and control of data quality requirements impacting Valuation Adjustments in line with Citi data governance standards
  • Establish and evaluate metrics and reports to review and challenge practices which are not fully aligned with the firm's standards
  • Assess internal events, perform lessons learned analysis and implement enhancements as needed

Qualifications and Competencies
  • Subject matter expertise on the processes relating to the valuation of derivatives in a trading environment as well as industry knowledge of best practices on the associated key controls
  • Excellent track record successfully leading large change management teams covering derivative valuation, risk, or model initiatives
  • Outstanding communication and presentation skills, with an ability to quickly assess and adapt to the needs of the target audience
  • Demonstrated ability to influence senior stakeholders, facilitating and leading senior forums
  • Strong experience with strategic design, delivering complex solutions with multiple interdependencies
  • Ability to provide thought leadership, resiliently pursue alternative solutions and succinctly communicate a strategic vision
  • Strong controls mindset, identifying and mitigating risks, communicating, and escalating concerns
  • Ability to identify areas subject to heightened control risk and to design efficient approaches to mitigate the risk on a sustainable basis


Job Family Group:
Risk Management

Job Family:
Business Risk & Controls

Time Type:
Full time

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