Associate - XVA Risk Manager

2 weeks ago


New York, United States Selby Jennings Full time

A top tier Investment Bank is hiring an Associate to cover Counterparty Credit Risk in New York. This individual will optimize CVA and other XVA measurement across several trade desks, set and enforce risk limits, and integrate CVA into the market and counterparty risk frameworks.

This position will work closely with traders and trading heads, product control teams, and quant groups to review and approve large transactions for dynamic hedging, monitor limits, drive projects to improve the CVA risk framework and methodology, and play a key role in managing risk and valuation on complex derivative transactions.

Responsibilities:

  • Establish and enforce the market/counterparty risk limits
  • Perform trade analysis and provide trade approvals
  • Design and execute stress testing scenarios
  • Assess risk/reward profiles of new large or complex transactions and trades
  • Work closely with leadership to manage and enhance the XVA risk framework across several desks
  • Perform scenario analysis, stress testing, and ad hoc analyses
  • Work cross-functionally with internal teams including Product Control, Traders, Quants, and others on market/counterparty risk related issues

Qualifications:

  • 3+ years of Market Risk/Counterparty Credit Risk Management experience
  • Strong knowledge of XVA/CVA or credit/rates products and derivatives
  • Expert knowledge of vanilla and exotic derivatives and Greeks/risk sensitivities
  • Excellent communication skills
  • Proficiency in Python, R, SQL, and/or VBA


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