CVA Middle Office
The CVA MO or Credit Valuation Adjustment Middle Office Team is part of the Global Middle Office (GMO) Team. Funding Valuation Adjustment (FVA) will strive to establish correct trade pricing and risk management ability using CSA driven discount curves and develop or enhance tools to improve operational efficiency of collateral management. The MO team is responsible for supporting the CVA desk and establish appropriate control framework from the trade and market data inputs to the daily valuations.
Job Overview: As a PNL Analyst the function would involve:
CVA Daily PL Explains and Risk Analysis
- Develop the PL production capabilities based on FO and MO needs
- Help implement the CSA discounting at LOB MO PL level
- Help build out daily PL reports
- PL attribution/predicts for CVA
- New Business Report
- Risk reports, and Input control reports (including market data, trade data, input overrides, transfer pricing reports, etc
- Ensure that the PL and transfer pricing model is implemented
- Communicate daily with CVA FO and control partners within GMG
Process Improvement
- Identify issues and control gaps on an ongoing basis in the CVA PNL infrastructure
- Work with technology team to streamline the processes and enhance data integrity and control
- Project Management
- In depth product experience knowledge of financial instruments accounting and transaction lifecycle
Qualifications:
Must Have:
Masters Degree in Finance, Economics or Financial Quantitative Analysis
5 years + industry experience.
Excellent communication skills
Strong technical skills including experience using MS Office, SQL, and Visual Basic
Strong analytical skills
Knowledge or experience with trading products in capital markets: Fixed Income, Credit Product, etc. Pricing derivative products like Futures, Options, Indexes, CDS, CDO, FRAs, SWAPs, SWAPTIONs, CAPs/FLOORs. Knowledge of Financial Risk Management: Credit Risk Model, Value at Risk. Knowledge of Interest Rates, Credit spreads, bond pricing, etc.
Organized, detail oriented skilled in handling multiple priorities with tight deadlines in a fast-paced environment
Desired:
Accountancy Qualification
Coding in Python, C+ Understanding of Matlab
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