CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury
Job Description
Role of desk
Key responsibilities:
*LI-VN Qualifications
Requirements
Role of desk
- Front Office function to analyse and manage XVA risks
- Assist Sales and Trading in the calculation and pricing of XVA charges
- Optimize customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs
Key responsibilities:
- Provide support for the XVA desk, particularly in the area of quantitative credit analysis
- Analyse and manage underlying generic counterparty credit risks for customer derivatives portfolio
- Assist Sales and Trading in the defeasance/mitigation of CVA exposures through credit enhancements
- Identify solutions to transfer or transform the CVA credit risk
- Assess the fundamental and legal economics of counterparty agreements
- Assist the desk to optimize CVA risks and future regulatory capital charges
- Work together with Market Risk and TFCA to assessand/or develop CVA pricing models
*LI-VN Qualifications
Requirements
- An academic degree in a quantitative field
- Basic coding/programming knowledge, e.g. Python, C++, and/or VBA
- Relevant knowledge of financial instruments, in particular derivatives and structured credit
- Experience in quantitative finance and/or credit structuring is required