XVA Trader, AVP

Citigroup Inc.; City Of London; Hybrid; GBP 50,000 - 70,000; Full time

Job summary

A leading global financial services firm based in London is seeking a Junior Trader to support their XVA trading desk. The ideal candidate will assist in pricing, managing risks, and collaborate with various teams. This position requires strong analytical and mathematical skills, along with an understanding of capital management in trading.

Benefits

Generous holiday allowance starting at 27 days

Discretionary annual performance-related bonus

Private medical insurance

Pension Plan

Paid Parental Leave

Special discounts for employees

Qualifications

• Experience in an XVA trading business preferred.
• Strong analytical and mathematical skills required.

Responsibilities

• Provide XVA, funding and capital pricing to sales desks.
• Analyze and implement market strategies for complex positions.
• Collaborate with teams on CSA negotiations and risk management.

Skills

Analytical skills

Mathematical skills

Programming in Python

Derivative modelling concepts

Education

Undergraduate degree in Physics, Mathematics, Engineering or Economics

Job description

Team/Role Overview

The Rates & Currencies XVA desk are looking for a Junior Trader to work alongside an established XVA trading desk, managing all aspects of deal pricing, book management and projects. The trader will be mainly supporting colVA appearing in derivatives transactions closed under a non-standard agreement, as well as collateral driven transactions.

The CVA/XVA desk is responsible for the pricing and subsequent risk management of the XVA of trades in the rates and currencies business. The desk also manages and prices the use of funding and capital, as well as manages the business response to LIBOR transition. The desk prices transactions of varying sizes, and manages several portfolios of credit, rate, FX, volatility and basis risk. The desk works closely with corporate and institutional sales, risk management, finance, and all rates & currencies trading desks.

Working alongside the Senior Traders - What you’ll do

• Provide XVA, funding and capital pricing to sales desks. Optimize costs of the CVA/XVA trading and funding books, analyse and dynamically hedge risks. risk/csa data reconciliation and management. Work with quant and IT groups on modelling improvements. Work closely with relevant control functions, IT, quants and other internal groups. Create, optimise and manage desk risk and p&l reports. Regular dialogue with internal trading desks and external sales coverage.
• Analyse and implement market strategies to handle the complex cross‑asset position arising from the Global Markets ColVA portfolio.
• Collaboration with Global Sales and Structuring in the design and negotiation of new/amended CSAs, including direct client engagement.
• Participate in the development and improvement of tools and models needed to manage ColVA risk.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure.
• Appropriately assess risk when decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgement regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.

What we’ll need from you

• Experience working preferably in an XVA trading business, including capital and notional management, as well as pricing CVA/Funding/Capital for Rates and Currencies products (candidates with experience in non‑linear trading might also be considered).
• Very strong analytical and mathematical skill set.
• Comfortable with derivatives modelling concepts.
• Strong Excel + Python/other programming skills & experience.
• Demonstrated ability to conduct own research, evaluate proof of concepts / prototypes, articulate ideas and deliver presentations.
• Ability to read CSAs and decipher important information from it.
• Familiarity with capital rules (Basel RWA, CCAR and/or GSIB).
• Ability to pick up new concepts and think outside the box quickly.
• Knowledge of the following would be a plus: the latest XVA trends, DP analytics, compression and IM optimisation.
• Undergraduate numerate degree or higher, degree in Physics, Mathematics, Engineering or Economics with background in Financial Mathematics preferred.

Candidates applying for this role must be aware that it is a Certified Role, subject to the FCA and PRA Certification Regime.

The Certification Regime is one element of the Individual Accountability Regime which came into effect on 7 March 2016.

Under the Certification Regime, Citi UK regulated entities (Citi entities) must ensure that employees working in certain roles categorised as specified significant harm functions (Certified Roles) are assessed as fit and proper to carry out their role.

Under the guidance provided by the FCA and PRA, firms should have regard to the following when assessing fitness and propriety:

• Honesty, integrity and reputation

• Financial soundness

• Competence and capability

In order to comply with the requirements of the Certification Regime, Citi entities must take reasonable care to ensure that an employee does not perform a Certified Role without first being certified as Fit and Proper. For this reason, you will be assessed for this role against the Fit and Proper requirements, as described above.

This assessment will be carried out through extensive interviews, self‑disclosures, permitted criminal record checks, regulated reference checks, credit checks and other background screening checks.

What we can offer you

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best‑in‑class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure

• A discretionary annual performance‑related bonus
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Programme
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energised to join us, motivated to stay, and empowered to thrive.

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to race, colour, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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