XVA Trader, Assistant Vice President

Citi • New York, NY

3d

About The Position

The Rates & Currencies XVA desk are looking for a Junior Trader to work alongside an established XVA trading desk, managing all aspects of deal pricing, book management and projects. The trader will be mainly supporting colVA appearing in derivatives transactions closed under a non-standard agreement, as well as collateral driven transactions. The CVA/XVA desk is responsible for the pricing and subsequent risk management of the XVA of trades in the rates and currencies business. The desk also manages and prices the use of funding and capital, as well as manages the business response to LIBOR transition. The desk prices transactions of varying sizes, and manages several portfolios of credit, rate, FX, volatility and basis risk. The desk works closely with corporate and institutional sales, risk management, finance, and all rates & currencies trading desks. Working alongside the Senior Traders - What you’ll do Provide XVA, funding and capital pricing to sales desks. Optimize costs of the CVA/XVA trading and funding books, analyze and dynamically hedge risks. risk/csa data reconciliation and management. Work with quant and IT groups on modelling improvements. Work closely with relevant control functions, IT, quants and other internal groups. Create, optimize and manage desk risk and p&l reports. Regular dialogue with internal trading desks and external sales coverage. Analyse and implement market strategies to handle the complex cross-asset position arising from the Global Markets ColVA portfolio. Collaboration with Global Sales and Structuring in the design and negotiation of new/amended CSAs, including client engagement. 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. Appropriately assess risk when decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

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.
• Optimize costs of the CVA/XVA trading and funding books, analyze and dynamically hedge risks.
• risk/csa data reconciliation and management.
• Work with quant and IT groups on modelling improvements.
• Work closely with relevant control functions, IT, quants and other internal groups.
• Create, optimize and manage desk risk and p&l reports.
• Regular dialogue with internal trading desks and external sales coverage.
• Analyse and implement market strategies to handle the complex cross-asset position arising from the Global Markets ColVA portfolio.
• Collaboration with Global Sales and Structuring in the design and negotiation of new/amended CSAs, including client engagement.
• 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.
• Appropriately assess risk when decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

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