Equities XVA Trader

The Desk prices transactions of varying sizes, and manages portfolios of equity, credit, FX, and volatility risk. The Desk works closely with Structuring, Corporate and Institutional Sales, Risk Management, Finance, and all Equities Trading Desks.

This is an opportunity to join the Equities XVA team and develop the next generation of XVA pricing and risk management capabilities. The role of a XVA trader is to manage all aspects of deal pricing, book management and projects engagement around the reported XVA. This is also an opportunity to contribute to the optimisation of the capital and liquidity footprint of the Equities division, while working in a dynamic, collaborative and creative environment.

Responsibilities:

• Pricing XVA holistically: CVA, FVA, ColVA, Margin costs and Capital

• Analysing and hedging the risk of the Equities XVA book, daily monitoring of Risk and P&L.

• Understanding the existing RWA themes of the division, be able to relate Basel Regulatory principles to trades and evaluate capital efficiency of transactions

• Creating, optimizing and managing Desk tools (for Risk and P&L) and other analytics assisting in smart decision making, reporting and communication

• Engage with Tech and Quant teams to problem solve, evolve the platform and capabilities.

• Collaborating with internal partners and industry forums to improve Stress Testing Capabilities, as well as optimising the RWA footprint of CVA (CVA RWA under FRTB)

• Working with the Quant and Risk Technology Risk Delivery teams to ensure appropriate risk capture for above mentioned models and also improving the core capabilities in the light of increasing calculation demands.

• Regular dialogue with internal trading desks, structuring and sales.

• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure

Recommended Qualifications:

The successful candidate will need an appropriate grasp of several if not most of the financial products traded by an Equity division. Experience in CVA/FVA management would be beneficial.

A background in equity structured products space or at least a very good understanding of the risks and the business profile of structured equity derivatives would be beneficial. Also be confident in regulatory capital terminology, including Basel rules, FRTB, Liquidity Coverage ratio and others. Key qualifications would include:

• Very strong analytical and mathematical skills, applied in Derivatives pricing and risk management, preferably spanning a variety of products and asset classes

• Experience with understanding legal transactional documents (trade confirmation and Credit Support Annex)

• Good knowledge of the regulatory environment with a particular focus on its impact on Equity Derivatives as an asset class

• Excel & VBA & Python, building and running basic excel based business models

• Familiarity with AI applications, leveraging them to create efficiencies for the Desk

• Strong Scientific/Mathematics/Finance background as proven by Undergraduate numerate degree or higher

• Preferably 2+ years working in trading or related desk or function, with experience of XVA trading or non-linear trading and/or RWA optimisation

• Be curious and creative; independent worker and a team player

• Attention to detail

• Communication skills

• Able to assimilate and analyze complex information and distill the salient points

Education:

• Bachelor’s degree/University degree or equivalent experience

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.