Trader, VP - Spread Products XVA Trading

Citi • New York, NY

2d • $250,000 - $250,000 • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Trader, VP-Spread Products XVA Trading for its New York, New York location. Duties: Help managing the tasks involving X-Valuation Adjustment (XVA) for Citi’s Spread Products business, including new trade pricing and risk management of existing exposure. Develop, maintain, and enhance quantitative pricing and risk management tools used by the Spread Products XVA desk, by leveraging various interest rates and credit modelling techniques. Use quantitative models to calculate fair value XVAs of the portfolio and its associated risks to various market factors. Analyze XVA P&L to develop optimal hedging strategies and to manage risks from derivatives trading counterparties as well as from Special Purpose Vehicles that issue Structured Notes. Leverage Monte Carlo simulation methodology to model exposure profiles of derivatives under different market scenarios. Conduct scenario analysis and stress test portfolio to assess needs for additional protection against unexpected losses. Understand various regulatory requirements like Basel, SACCR, CCAR and evaluate capital usage for various trade structures. Liaise and coordinate with various stakeholders of Spread Products XVA desk in solving any pricing/risk issue that may arise in production. Collaborate with partners in Markets Quantitative Analysis, Market Risk, Technology, and Financial Control to assess validity of the modeling assumptions, ensure model’s compliance with applicable regulatory requirements, and for effective implementation of the models in XVA infrastructure. Leverage programming languages like Python, VBA and Object-Oriented Programming principles to develop desk tools to facilitate pricing and risk management of trades. Drive the development and enhancement of XVA pricing models for various credit and interest rate products. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Financial Engineering, Quantitative Analytics, Engineering (any), or related field and 3 years of experience as a Trader, Quantitative Analyst, Analyst, Associate or related position involving risk analysis and model development for global financial services institution.
• At least 3 years of experience must include: Knowledge of Fixed Income cash products and exotic derivatives; Financial mathematics and pricing methodologies; Monte Carlo Simulation, Scenario Analysis, Stochastic Processes; Market data analysis; Statistical, optimization, and regression techniques; Programming languages including Python, Excel, VBA; Object-oriented software design; Quality control framework implementation; and Stress testing.
• At least one year of experience must include: Pricing and risk management tools development.

Responsibilities

• Help managing the tasks involving X-Valuation Adjustment (XVA) for Citi’s Spread Products business, including new trade pricing and risk management of existing exposure.
• Develop, maintain, and enhance quantitative pricing and risk management tools used by the Spread Products XVA desk, by leveraging various interest rates and credit modelling techniques.
• Use quantitative models to calculate fair value XVAs of the portfolio and its associated risks to various market factors.
• Analyze XVA P&L to develop optimal hedging strategies and to manage risks from derivatives trading counterparties as well as from Special Purpose Vehicles that issue Structured Notes.
• Leverage Monte Carlo simulation methodology to model exposure profiles of derivatives under different market scenarios.
• Conduct scenario analysis and stress test portfolio to assess needs for additional protection against unexpected losses.
• Understand various regulatory requirements like Basel, SACCR, CCAR and evaluate capital usage for various trade structures.
• Liaise and coordinate with various stakeholders of Spread Products XVA desk in solving any pricing/risk issue that may arise in production.
• Collaborate with partners in Markets Quantitative Analysis, Market Risk, Technology, and Financial Control to assess validity of the modeling assumptions, ensure model’s compliance with applicable regulatory requirements, and for effective implementation of the models in XVA infrastructure.
• Leverage programming languages like Python, VBA and Object-Oriented Programming principles to develop desk tools to facilitate pricing and risk management of trades.
• Drive the development and enhancement of XVA pricing models for various credit and interest rate products.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level