XVA Management, ANL or ASO, London #088622

The CVA Management Desk is the Front Office owner of the ISDA SIMM Initial Margin model and is recruiting a Junior Analyst (Analyst – Associate level) to support business activities, primarily in the Initial Margin space.
The CVA Management Desk is a global function responsible for:

  • Valuation Adjustments (XVA): Pricing counterparty and funding risk in the OTC Derivative business and risk managing the Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA) on behalf of business lines.

  • Collateral Adjusted Valuation (CAV): Managing collateral discounting risks on OTC Derivative transactions centrally.

  • BaseI III Capital Management: Managing a central capital management programme focused on mitigating RWA.

  • Central Trade Compression: CVA Management run a centralized trade compression process, across trades facing Central Clearing Counterparties (CCPs), in order to achieve significant BCBS Leverage Exposure reduction on behalf of business lines.

  • Regulatory Change: CVA Management represent Front Office for multiple regulatory change initiatives (e.g. IOSCO)

Main Duties & Responsibilities:
The role will have primary responsibility for running the Firm’s Initial Margin Model and taking the lead on issues, adjustments and controls related to all aspects of the model’s performance. Specifically, daily management will involve:

  • Controls:
    • Daily risk run regionally, reconcile with Firm EoD and resolve where issues arise

    • Monitoring the appropriateness of SiMM model use on a daily basis on a product by product basis, escalating exceedances to relevant governance forums

    • Identify and escalate non-compliant bookings to appropriate governance e.g. PVWG

  • IM risk reconciliation (SiMM):
    • Investigation of risk related breaks using TriOptima risk reconciliation tool (industry standard)

    • Remediation of risk model breaks and escalation to Quants as appropriate

    • Identification of operational bugs, working to resolve and validate (UAT) for release to production

    • Issue daily reconciliation summary report including outlining key breaks

    • Liaising with FO and Margin Services on a daily basis

  • Schedule calculator:
    • Ensure incremental products are configured into schedule calculator as required

  • Forums & governance:
    • Represent xVA / CS at industry tool development forums and ISDA

    • Contribute to the SiMM model governance & PVWG as required

Skills and Attributes Required:

  • Significant work experience in financial markets in either a risk management or quantitative role

  • Solid understanding of market and counterparty credit risk, and associated key quantities approaches to measure

  • Proficient with VBA and SQL; C# a plus

  • An undergraduate degree with a strong mathematical and statistics background. Postgraduate qualifications are a plus.

  • Excellent working knowledge of Excel.

  • The ability to be detail oriented, focused, self-motivated and team oriented.

  • The ability to multitask accurately under tight time constraints in a high-pressure environment.

  • Strong communication skills.

Education/Professional Qualifications:

  • Essential: University undergraduate degree