Associate, xVA Analyst Associate, xVA Analyst …

in London, United Kingdom
Permanent, Full time
Last application, 24 Jun 21
in London, United Kingdom
Permanent, Full time
Last application, 24 Jun 21
We are MUFG. 360 years of heritage. A world-class set of businesses. And more than 180,000 employees in 50 markets. It’s no surprise that MUFG has grown to become one of the top five banks in the world. Our services include commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. MUFG offers stability in an ever-changing market, providing services to high-profile clients worldwide.

Overview of Department/Section: 

xVA management is the central trading desk managing the residual OTC derivative risks of the bank. Amongst other mandates, xVA trading is responsible for pricing and hedging valuation adjustments relating to credit, funding, margin, capital, and liquidity, as well as managing and optimizing the scarce balance sheet resources of the bank. The XVA desk is a central front office risk management trading function mandated to mitigate and manage these risks, whilst at the same time optimizing the balance sheet to facilitate future business, and ensuring that the front office remains at the forefront of the OTC derivative market practices and developments.  


Main Purpose of the role:

The xVA Analyst assists the more senior traders in day to day operations, thereby enhancing the efficiency and scope of the xVA trading desk.

The main responsibilities of the role are:

1) Pricing of XVAs for new deals;

2) Libor replacement/RFR readiness.

This role is also responsible for working closely with business and support teams across Securities and Bank to focus on improving data, calculation, reporting, and management processes.  


Key responsibilities:


  • Inception pricing of new deals xVA for CVA, FVA, collateral VA, capital, margin, etc
  • Working closely with Rates Trading Group (RTG), Derivative Solutions Group (DSG), and other structuring/trading desks, on pricing requests
  • Liaison with CPMO (Credit Portfolio Management Office) in MUFG Bank on all XVA matters relating to the Bank derivatives portfolio
  • Working with quants and risk on new xVA models and functionality
  • Working with treasury, quants, risk, operations on funding, margin and capital initiatives
  • RFR/Libor replacement
  • Participating in working groups as a front office SME on RFR matters
  • Managing the transition of CSA reference rates to RFRs including PV and risk analysis across systems, desks and products
  • Working with the IBOR program on preparation of transition fallback plans with focus on risk and PV changes, and managing the orderly transition thereof
  • Working closely with FOS (Front Office Solutions) to ensure models, data, and trading spreadsheets are ready to facilitate pricing and trading under the new regimes
  • Acting as the front office point person for communications to other dealers (along with Trading) and clients (along with Sales)


Work Experience:


  • Investment Banking fixed income derivative experience gained in a trading environment or technical support role


  • Working on an XVA desk or quant team
  • IBOR/RFR front office experience (PVs and risk)


Skill and Experience:


Functional / Technical Competencies:


  • Strong knowledge of interest rate, FX and credit derivative markets
  • Ability to work on multiple tasks concurrently including precise XVA pricings
  • IBOR/RFR experience gained from direct exposure to a front office environment
  • Ability to act as front office SME on RFR matters
  • Experience of interacting with sales and trading functions including the ability to defend and explain pricing concepts
  • Understanding of xVA quant models and working with quants to develop new systems



  • Experience of Murex as a booking and risk management tool
  • Knowledge of capital requirements under Basel 3 and SACCR
  • Working on an xVA desk
  • Experience of trading / hedging XVA risks (including IBORs vs RFRs)

Education / Qualifications: 

  • Degree level in a numerical discipline


Personal Requirements

  • Excellent attention to detail and accuracy as dealing with risk and P&L affecting pricings
  • Strong communication skills as daily interaction with multiple internal and external stakeholders
  • Results driven, with a strong sense of accountability
  • A pro-active, motivated approach.
  • The ability to operate with urgency and prioritise work accordingly
  • Strong decision making skills, the ability to demonstrate sound judgement
  • A structured and logical approach to work
  • Strong problem solving and numerical skills
  • A creative and innovative approach to work
  • The ability to manage large workloads and tight deadlines
  • A calm approach, with the ability to perform well in a pressurised environment


MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership. 


We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.

We are open to considering flexible working requests in line with organisational requirements.


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