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XVA Quantitative Risk Analyst

  • Location: London
  • Salary: £75000
  • Job type: Permanent
  • Job reference: 48757
  • Sector: Market Risk, Credit Risk
Job Description

We have a new opportunity working as part of the XVA risk management team of a leading bank. Youwill be working closely with the Front office (Risk, trading, sales) as well as the wider risk and IT teams.

Responsibilities:

  • Analyse & monitor market and traded credit risk of xVAs. Including:

    • Analyse, explain xVA movements and variations

    •  Monitoring and analysis of market risk of XVA hedging portfolios

    • Adjust P&L

    • Review trades of the XVA desk

  • Reviewing and/or setting up new limit framework, development of new reserve or PV methodologies.

  • Participation in the quantitative impact studies for FRTB.

You will have:

  • Proven computational skills required (R or Python)

  • Strong quantitative background (Market or Counterparty Risk)

  • Strong knowledge of derivative products

  • Knowledge of XVA

  • Able to interact in a fast pace environment with the Front Office.

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