Quantitative Analyst
Core
Price and hedge MVA and ColVA across a derivatives portfolio, manage collateral portfolios for cleared and non-cleared OTC derivatives, and actively trade repo markets to optimize funding costs.
Role type
XVA & Collateral Trader
Builds
Collateral and funding strategies aligned with business objectives
Domain
Corporate & Investment Banking, Derivatives, Fixed Income
Required skills
XVA pricing and risk management, financial derivatives knowledge, repo market trading, credit analysis, numerical and analytical skills, Bloomberg and Reuters proficiency
Preferred skills
Collateral management and liquidity optimization, regulatory knowledge in derivatives trading, funding strategy experience
Technologies
Bloomberg, Reuters
Responsibilities
Price and hedge MVA and ColVA, trade repo markets to optimize collateral funding costs, manage daily margin calls and collateral movements with counterparties and CCPs, define and execute collateral and funding strategies, report key portfolio metrics and risk drivers to management, advise sales team on market developments and product pricing
