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Deputy Head, XVA Head & Counterparty Portfolio Management

Santander Group

This is a Full-time position in New York, NY posted June 8, 2021.

Deputy Head, XVA Head & Counterparty Portfolio Management

Location New York, United States Category Other Positions Date posted 01/06/2021 Job ID 2102588

Deputy Head, XVA Head & Counterparty Portfolio Management
– 2102588


Brief Summary: The business expansion of CIB US has produced a need to establish deputy position to the ACPM head.

It will be responsible for the XVA desk that manages in a centralized function the valuation of all counterparty valuation adjustments, including its risk and hedging, and more broadly the need to develop the management of Counterparty Portfolio Management as part of the Active Credit Portfolio Management line of business.

This function requires a solid background/understanding on the business, regulatory/economic capital processes, techniques, and regulatory needs ensuring also that communication between local and global teams follows an efficient process.

The role will be integral part of the decision-making that supports the bank’s business.

It will drive strategic and sustainable regulatory and economic capital allocation across entities relevant to CIB US portfolio.

As responsible for managing and developing the XVA desk and its team of highly skilled professionals to a new generation of metrics, analysis, and trading for hedging strategy techniques.

The role includes, and is not limited to, the supervision, definition, guidance, and monitoring of the calculation of XVA measures and its components -Expected Positive and Negative Exposures, rates and credit greeks-, pricing, interest-rate hedging, risk and risk limits, PnL, capital allocation to the XVA desk.

To enhance the risk-return of the portfolio and optimize the allocation of (regulatory) capital (RWAs), by minimizing RWAs given return, increase return at constant RWAs, or improve both if the portfolio mix of products & clients is identified to be inefficient.

Develop and assess views of the CIB US credit risk portfolio composition and its risk drivers, foster analysis and investigation into key risk concentrations and its management.

Monitor emerging issues and changes in the market which could impact the portfolio and lead credit risk analyses to anticipated event risks (e.g.

upcoming elections, regional political instability, new product regulations) including stress and scenario analyses.

Support the CIB US head of ACPM to respond to queries and reports from global ACPM, local and Global CFOs, and local CRO in regards to dimensions and nature of CIB US RWA exposure and consumption.

As part the Active Credit Portfolio Management line of business, the XVA desk focuses on managing counterparty credit risk (CVA), funding risk (FVA) and capital risk (KVA) in the Bank’s derivatives portfolio.

Expand XVA desk to centralize, and evolve management of all individual counterparty valuation adjustments to the derivative books, from CVAnDVA to Funding Valuation Adjustment FVA, combining counterparty risk and funding risk and linking it with collateral and capital management.

Ensure trading component of XVA desk is compliant with applicable local and Global regulation for an international institution like Santander, such as Volcker rule and Prudent Valuation requirements (Additional Valuation adjustments) from an EU perspective.

Proactive partnering with highly-skilled Quant teams, Model Risk and IT (local and Global) to strengthen the vision and definition of analytics and the technical platform for XVA calculations.

Act as a liaison with Global teams in relation to RWA strategies and internal rating based (IRB) framework to ensure consistent and effective roll-out to CIB US.

To expand origination and support new initiatives under (mainly regulatory) capital and funding constraints, by applying techniques and knowledge of firm-specific RWA consumption characteristics through its internal models to off-load the risk from the balance sheet working and networking closely with Global teams.

Employees desiring consideration should complete an online application, utilizing the appropriate process as subscribed by the posting entity.

Employees should provide all pertinent information to support their candidacy.

To be considered eligible for internal posting, Santander employees must meet all of the following eligibility requirements:
Completion of at least one year of active service in Santander Completion of at least twelve months in current position Be in “Good Standing”
Please click here to see the full policy

At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams.

We encourage everyone to apply.


Education PhD /MSc required or equivalent experience preferably in an analytical/economic/numerical discipline Business Experience 10-15 years of relevant experience or demonstrated required level of proficiency Technical Knowledge of advanced XVA framework and practices, and capital regulatory treatment of counterparty exposures Proficient in understanding the characteristics that XVA is comprised of, including exposures calculation approaches, LGDs and market implied PDs as well as the different techniques (and its limitations) applied to compute the different dimensions of XVA.

Fluency in the different IRB treatments for RWA of an Investment Banking portfolio and the role of the PD, LGD and CCF triad for each segment.

Proficiency in adapting and using risk measures that allow an advanced description of the credit portfolio, such as the effects of concentration, asset correlation, and loss distribution techniques from different angles.

Deep and practical understanding of techniques to expand originations, such as the regulatory treatment of securitizations and the hedging via credit derivatives.

High analytical skills, ability to understand complexities within the credit portfolio and the impact of data sourcing and exposure calculations.

Independent, accurate and systematic working style, high degree of flexibility, hands-on approach and high drive to think in innovative ways and changes.

: Business Management

Primary Location
: New York-New York-45 East 53rd Street
– 06547
– NY Corp

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