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Department Overview:
• The Capital Markets Risk Management (CMRM) area is part of the client’s Corporate Risk Management function. Our teams are accountable for the generation and monitoring of an independent view of the Profit and Loss, Market Risk, Counterparty Credit Risk, xVA, Collateral and Valuation activities of The Bank’s global trading activities. We support wholesale business initiatives, inform an array of risk management decisions and facilitate business through managing evolving front office needs, while ensuring appropriate capture and control of risk.
• Within CMRM, the xVA team is responsible for a number of activities related to the quantitative analysis of valuation adjustment, simulated exposure & credit curves and policy implementations. The xVA team oversees the implementation of new simulation models and analysis of the key measures used by The Bank to monitor and control xVA. We further provide support to the front office’s ongoing xVA related queries. This includes “what if” analysis on potential trades, sensitivity, curve & exposure movement and identification of xVA optimization opportunities.
Selling Points of Position:
• Capital Market risk role that will allow you to learn in depth risk knowledge. Will require you to be knowledgeable about all prototypes and develop tight work relationships with market risk control and finance for networking opportunities.
Best Vs Average Candidate:
• Best candidate is someone who already has experience in relevant field, solid knowledge in derivates and risk management. Has experience with various stakeholders, dealing with various projects and complex issues and problem solving.
Summary of day to day responsibilities:
• xVA PnL reporting
• Need to interact with various stakeholders to ensure evaluations are correct for reporting purposes as well as pricing perspective and helping front office shareholders to do their job properly.
Must have Job Requirements:
• Working knowledge in the pricing of OTC derivatives.
• Experience with working with a complex system and comfortable with reading specifications.
• 2+ years’ experience with producing reports and attributing PnL.
• Degree specializing in finance, risk management, or other quantitative discipline.
• Self-motivated and willing to take ownership and initiative with a positive attitude.
• Ability to prioritize multiple tasks and deliver results in a fast-paced environment.
• Capital market risk management experience 2+ years is a must
• xVA knowledge
Nice to have:
• CFA or FRM candidates preferred.
• Knowledge in and experience with Python preferred.
• Previous work experience primarily focusing on OTC derivatives is an asset.
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