XVA Trader, Assistant Vice President

Citi • New York, NY

3d

About The Position

Working alongside the Senior Traders - What you'll do Provide XVA, funding and capital pricing to sales desks. Work with quant and IT groups on modelling improvements. Work closely with relevant control functions, IT, quants and other internal groups. Analyse and implement market strategies to handle the complex cross-asset position arising from the Global Markets ColVA portfolio. Participate in the development and improvement of tools and models needed to manage ColVA risk. Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure. Any experience working in an XVA trading business, including capital and notional management, as well as pricing CVA/Funding/Capital for Rates and Currencies products (candidates with experience in non-linear trading might also be considered) Very strong analytical and mathematical skillset Comfortable with derivatives modelling concepts Strong Excel + Python/other programming skills & experience. Demonstrated ability to conduct own research, evaluate proof of concepts / prototypes, articulate ideas and deliver presentations Ability to read CSAs and decipher important information from it Familiarity with capital rules (Basel RWA, CCAR and/or GSIB) Ability to pick up new concepts and think outside the box quickly Knowledge of the following would be a plus: the latest XVA trends, DP analytics, compression and IM optimization Undergraduate numerate degree or higher, degree in Physics, Mathematics, Engineering or Economics with background in Financial Mathematics preferred

Requirements

• Any experience working in an XVA trading business, including capital and notional management, as well as pricing CVA/Funding/Capital for Rates and Currencies products (candidates with experience in non-linear trading might also be considered)
• Very strong analytical and mathematical skillset
• Comfortable with derivatives modelling concepts
• Strong Excel + Python/other programming skills & experience.
• Demonstrated ability to conduct own research, evaluate proof of concepts / prototypes, articulate ideas and deliver presentations
• Ability to read CSAs and decipher important information from it
• Familiarity with capital rules (Basel RWA, CCAR and/or GSIB)
• Ability to pick up new concepts and think outside the box quickly
• Undergraduate numerate degree or higher, degree in Physics, Mathematics, Engineering or Economics with background in Financial Mathematics preferred

Nice To Haves

• Knowledge of the following would be a plus: the latest XVA trends, DP analytics, compression and IM optimization

Responsibilities

• Provide XVA, funding and capital pricing to sales desks.
• Work with quant and IT groups on modelling improvements.
• Analyse and implement market strategies to handle the complex cross-asset position arising from the Global Markets ColVA portfolio.
• Participate in the development and improvement of tools and models needed to manage ColVA risk.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees