VP – Market Risk – CVA / Counterparty Exposure Management recruitment
The Role
Carrying out analysis of CVA, applying hedging strategies factoring in sensitivities
Investigating into various CVA modelling/pricing issues such as right/wrong-way risk, correlation and volatility inputs, set-off strategy
Look into Basel 3 impact on capital for counterparty risk on trades as well as DVA and funding adjustment.
Look into PFE Collaterised names
Interpret stress results and VaR analysis
Communicate with senior stakeholders within the business, selling the practicalities of the CVA desk
The Candidate
Previous experience within CVA from a Market Risk perspective and / or Counterparty exposure management
Ability to be 'pro-active' and offer solutions, as oppose to following processes
Be commercially aware, being able to communicate the benefits of CVA / Counterparty hedging to front office
Quantitative Degree
If you require more information, please contact Jamie Brimage on 0207 970 9615 or e-mail Jamie.brimage@psdgroup.com