Summary Responsible for assisting with the management of counterparty risk and capital usage for the CVA Trading Desk. This mainly encompasses analysis and reporting of the various adjustments for the GMD derivatives business and the build-up of the infrastructure, identification of the main risks across the global portfolio as well as the improvement of current pricing methodologies Part of a Global team, this is a Front office role suitable for a motivated individual to be part of a growing mandate on XVA & Scarce Resource management, and with a focus on developing new technologies to assist with the management of the Derivatives activity.
Key Responsibilities 1. Assist GMD Business Lines with derivatives adjustments (XVA) reviews • Ensure promptness and accuracy when analysing derivatives adjustment • Ensure consistency across products and business centres
2. Assist with the further development of the CVA Platform • Review methodologies for counterparty credit risk and funding costs calculation to be applied to new transactions together with Sales and Trading teams and in accordance with the bank's hedging strategy. • Improve monitoring and reporting tools to extensively assess risks across CA CIB exposures • Interact with IT and Quantitative Research teams to design/improve systems architecture and modelling framework • Help Improve pricing capabilities for both the CVA team and other desks, including Sales, Trading and Structuring
3. Assistance to senior traders • Ensure P&L is explained, Risks are accurate • Help where needed in the booking / Back-Office / Middle-Office processes • Assist CVA traders in their various duties.
4. Management and Reporting • Report Daily pnl, risk and key market movements to management by email • Report to the Head of the CVA Trading Desk
5. Risk • Ensure adherence with regard to position and risk limits, market and counterparty risk, pricing guidelines • Sign the mandate in the MRL tool according to the procedure currently in place with the Bank
6. Communication • Work closely with support functions to ensure accurate and efficient processing of trades • Work closely to IT and Quantitative Research departments • At any time, communicate to the management and concerned functions in case of problems. • Attend regular meetings or conference calls with the other members of CVA Trading GMD group as requested and as appropriate to review market strategy and exchange ideas and any other pertinent information. • Contribute to discussions with the other members of CVA Trading GMD teams as requested and as appropriate to review market strategy and exchange ideas and any other pertinent information.
Legal and Regulatory Responsibilities • Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and the Financial Crime Policy
Good knowledge of front office working and eager to learn