Description

Job description

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Counterparty Credit Risk ("CCR") and Credit Valuation Adjustment ("CVA") Risk are major risk types for Financial Institutions, particularly within the Capital Markets divisions of banks and other financial institutions that trade derivatives, securities financing transactions and other counterparty-facing products. These risks sit at the intersection of front office, risk management, finance, model risk, collateral management and regulatory capital.

CCR and CVA capital can represent a material component of a bank's prudential capital requirements, particularly for institutions with significant derivatives and securities financing activity. The drivers of CCR and CVA are complex, requiring a detailed understanding of traded products, counterparty exposure, collateralisation, netting, margining, wrong-way risk, exposure modelling, and the regulatory capital frameworks used to measure and manage these risks.

As we expand our Risk Advisory business to more holistically include all risk types, the focus on CCR and CVA continues to increase. With important regulatory developments including SA-CVA, SA-CCR, advancing IMM expectations and model risk management expectations for counterparty credit risk, client-driven demand to support banks and other financial institutions in these areas is creating an increasing need for these skills.

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Responsibilities may include:

• Providing technical guidance and interpretation of prudential regulations relating to CCR and CVA, including SA-CVA, BA-CVA, SA-CCR, IMM and associated governance, model risk and regulatory expectations for Capital Markets Financial Services institutions.
• Providing input into, and/or leading, technical presentations to financial services clients covering CCR, CVA, key regulatory trends, technical insights and practical implementation challenges.
• Developing and managing a portfolio of client relationships across the financial services sector to support business growth.
• Managing workstreams or projects as part of a Deloitte team to support financial services clients in managing their CCR and CVA regulatory programmes, including SA-CVA implementation, BA-CVA assessment, SA-CCR optimisation, IMM development or remediation, exposure modelling and CVA risk management.
• Leading and managing teams and individuals to support meeting client demands, while also providing the basis for people development, mentoring and leadership.
• When supporting our clients, we will be looking for individuals who can work in the CCR/CVA ecosystem, either in the Front Office working with traders, XVA desks, quants or structurers, or in Risk Management, Finance, Model Risk or Quantitative Analytics working with risk managers, finance teams, model validators, credit officers or quantitative teams.
• Areas of work can and will vary, but the core competencies needed to support these clients remain largely the same. These include the ability to understand traded products, counterparty exposure, netting, collateral, margining, exposure profiles, valuation adjustments, regulatory capital requirements and the practical implementation of models and frameworks within large financial institutions.
• The candidate should have a broader perspective of potential issues encountered when managing diverse teams and the strategies to overcome them; have a clear understanding of the firm's commitment to creating a more inclusive culture; and be able to manage diverse teams within an inclusive team culture where people are recognised for their contribution.

Connect to your skills and professional experience

The hired candidate will need a technical and practical understanding of CCR and CVA. They will need to have good knowledge of investment banking products and the associated counterparty credit, exposure and valuation adjustment risks associated with these products, in particular SA-CVA, SA-CCR and IMM. In conjunction with this, they will need to be able to communicate technical CCR/CVA information to non-technical senior management verbally and in writing.

The successful candidate's broad understanding of CCR and CVA will later lead to the responsibility of managing multiple engagements, while also acting as a subject matter expert.

• A relevant university degree, such as Financial Mathematics, Mathematics, Statistics, Physics, Business, Finance, Economics, Financial Engineering or a related quantitative discipline, preferably with Honours, or equivalent qualification.
• CFA, FRM, CQF or equivalent professional designation preferred.
• Technical understanding of Counterparty Credit Risk, CVA and quantitative risk management, including:
  • Definition and range of traded instruments that generate counterparty credit exposure.
  • How derivatives, securities financing transactions and other counterparty-facing instruments are valued.
  • How counterparty exposure arises over the life of a transaction.
  • How netting, collateralisation, margining and close-out mechanics affect exposure and CVA.
  • When different CCR/CVA methodologies and modelling approaches should be used.
• Familiarity with counterparty credit risk and CVA measures, their derivation and their use in day-to-day risk-management operations of a financial institution. This may include PFE, EPE, EE, effective EPE, exposure profiles, expected positive exposure, potential future exposure, replacement cost, add-ons, alpha, credit spreads, CVA sensitivities and CVA capital measures.
• Understanding of exposure modelling approaches, including simulation-based exposure modelling, Monte Carlo methods, collateral modelling, netting set treatment, margin period of risk, wrong-way risk and stress testing.
• Experience in CCR and CVA risk management processes and frameworks, including governance, risk appetite, limits, identification, measurement, monitoring, reporting, stress testing and supporting data and infrastructure.
• Detailed knowledge of regulation impacting CCR and CVA, including SA-CVA, BA-CVA, SA-CCR, IMM, leverage exposure considerations for derivatives and securities financing transactions, and relevant prudential expectations for model governance and validation.
• Familiarity with topical regulatory and risk-management issues and experience dealing with the associated practical challenges related to their management and measurement within a large-scale financial institution.
• Practical experience with development, implementation, validation or remediation of CCR/CVA methodologies and frameworks.
• Knowledge and practical experience of model development and validation across standardised and internal model approaches, including SA-CVA, BA-CVA, SA-CCR and IMM.
• Understanding of regulatory quantitative impact studies, capital impact analysis, model change programmes or data remediation exercises relating to CCR and CVA. Experience in coordinating data collection, methodology assessment and capital impact analysis in line with these programmes would be advantageous.
• Familiarity with XVA concepts and infrastructure would be advantageous, including CVA, DVA, FVA, MVA, KVA, valuation adjustments governance, XVA desks, hedge accounting interactions and the relationship between accounting CVA and regulatory CVA capital.
• Ability to understand and explain the interaction between CCR/CVA, credit risk, market risk, liquidity risk, collateral management, clearing, margining and front office trading activity.
• Consulting skills: the ability to compile, digest and present technical information to senior non-technical audiences orally, visually and in writing.
• Utilising excellent interpersonal skills with a thorough technical understanding to facilitate workshops with clients.
• Team player with good organisational, planning and leadership skills.
• Sound people management skills and experience of developing and managing a team of professional staff.

Connect to your business - Strategy, Risk & Transactions Advisory

In an ever-evolving world, there are no certainties in business. Our teams help clients to navigate risks, process major transactions and deliver transformational change that will future-proof their business. Join us to make a positive difference.

Regulatory & Financial Risk

We provide advisory services across the risk and regulatory landscape to help our clients move beyond simply meeting the minimum compliance standards, to strategically creating a responsible, sustainable future. This includes providing critical insight and advice on the future of regulation to assist our clients in anticipating change and responding with confidence.

Personal independence

Regulation and controls are standard practice in our industry and Deloitte is no exception. These controls provide important legal protection for both you and the firm. We are subject to a number of audit regulations, one of which requires that certain colleagues abide by specific personal independence constraints (e.g., in relation to any financial interests and employment relationships). This can mean that you and your "Immediate Family Members" are not permitted to hold certain financial interests (shares, funds, bonds etc.) with audit clients of the firm, and also prohibitions on certain employment relationships (e.g., you are not permitted to hold a secondary employment role with SEC audit clients of the firm whilst being employed by the firm). The recruitment team will provide further detail as you progress through the recruitment process or you can contact the Independence team upon request.

Connect with your colleagues

"There's a huge range of clients and projects within every department - so there is always flexibility to move if you're keen to work on something different." - Jess, Strategy, Risk & Transactions Advisory

Our hybrid working policy

You'll be based in London with hybrid working.

At Deloitte we understand the importance of balancing your career alongside your home life. That's why we'll support you to work flexibly through our hybrid working policy. Depending on the requirements of your role, you'll have the opportunity to work in your local office, virtual collaboration spaces, client sites and remotely. You'll get the chance to meet face to face when needed, while you collaborate and learn from colleagues, share your experiences, and build the relationships that will fuel your career and prioritise your wellbeing. Please check with your recruiter for the specific working requirements that may apply for your role.

Our commitment to you

Making an impact is more than just what we do: it's why we're here. So we work hard to create an environment where you can experience a purpose you believe in, the freedom to be you, and the capacity to go further than ever before.

We want you. The true you. Your own strengths, perspective and personality. So we're nurturing a culture where everyone belongs, feels supported and heard, and is empowered to make a valuable, personal contribution. You can be sure we'll take your wellbeing seriously, too. Because it's only when you're comfortable and at your best that you can make the kind of impact you, and we, live for.

Your expertise is our capability, so we'll make sure it never stops growing. Whether it's from the complex work you do, or the people you collaborate with, you'll learn every day. Through world-class development, you'll gain invaluable technical and personal skills. Whatever your level, you'll learn how to lead.

Connect to your next step

A career at Deloitte is an opportunity to develop in any direction you choose. Join us and you'll experience a purpose you can believe in and an impact you can see. You'll be free to bring your true self to work every day. And you'll never stop growing, whatever your level.

Discover more reasons to connect with us, our people and purpose-driven culture at deloitte.co.uk/careers

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