CVA Trainee (Credit Value Adjustment)

CVA is responsible for all counterparty risk related issues within the Global Markets Division of the bank. CVA deals with the product specific aspects of derivatives counterparty risk, namely pricing, optimising and hedging CVA. Currently, CVA pricing is currently mandatory across Global Markets for all large derivatives transactions and is being rolled out for all transactions in several phases. An important aspect of CVA trading is the management of scarce resources like capital and credit limits by using portfolio optimisation techniques. Due to changing regulatory environment (Basel III), there is a huge demand for CVA desk risk management capabilities.

MAIN RESPONSIBILITIES

*Support of CVA traders in all aspects of reporting, pricing and data management
*Work on an ad hoc basis to cover tasks assigned that improve the efficiency of the desk
*Develop an understanding of the processes and workflows to be able to suggest solutions that could improve these
*Involvement in testing of pricing/trading applications
*Programming of small desk tools
*Co-ordinate with internal sales and trading teams, and counterparty risk group

PAST EXPERIENCE

*Capital Markets theory and practise
*Monte Carlo Simulation
*Specific Fixed Income derivatives experience
*Optimisation techniques
*Emphasis on application rather than theory

TECHNICAL SKILLS

*Excel/VBA
*Database knowledge

PERSONAL ABILITIES

*Good communicator
*(Internal) client focussed
*Ability to strike appropriate balance between mathematical theory and market practice
*Team player
*Creativity for finding pragmatic solutions for task given
*Resourcefulness for ability to complete assigned tasks relatively independently

If you are interested in this position, please contact Charlotte Allen.