• Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Credit Suisse -
  • 20 Oct 18

XVA Management - Trading Analyst # 118626

We Offer
The Finance division at Credit Suisse aspires to be the best Finance division in the industry and a core driver of the bank's vision. Our focus is to manage the bank's capital, funding, liquidity and expenses to ensure we are well capitalized and have a strong enough balance sheet to withstand adversity and uncertainty. We are committed to drive cost efficiencies, improve control, quality and efficiency of our information and to engage with the businesses to actively prepare the bank for regulatory changes. To fulfill our mandate we need the skills, experience and engagement of our employees. We need to attract the best people and engage, grow and retain talents through a rewarding and inclusive partnership culture.

The XVA 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: XVA Management represent Front Office for multiple regulatory change initiatives (e.g. IOSCO, IMM Programme, etc.).

Main Duties and Responsibilities
  • Daily modelling, pricing and risk management of fair value adjustments on derivative transactions, including credit, collateral and funding valuation adjustments, and regulatory capital.
  • Timely and accurate booking of transactions on a regular basis.
  • Effective reporting of daily XVA Management P&L to senior management.
  • Liaising with Sales, Trading, Quantitative Strategies and Risk to deliver appropriate risk management solutions.
  • Actively monitoring market developments to assist in effective risk management.
  • Delivery of ad hoc projects focused on enhancing business processes across the Desk.
  • Partnering closely with XVA Management colleagues in other regions in order to ensure the effective operation of XVA Management as a global business.

Open to discussing flexible/agile working.

You Offer
Skills and Attributes Required:
  • 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.