Quantitative Analyst: XVA

Location: Sydney CBD, New South Wales
Contract Type: Permanent
Specialisation: Banking & Financial Services
Salary: AU$150000.00 - AU$160000.00 per annum + Super + Bonus
REF: BBBH216815_1511391864

This is a fantastic opportunity to join a leading bank in Sydney, with the core remit to assist with calculation and analysis of xVA (comprises of cVA, dVA, fVA, kVA and mVA etc. etc.) and associated enablement frameworks and methodologies.

As a secondary remit, the role also requires the successful candidate to provide support to management for BAU activities. Thus the role involves the generation of daily xVA P&L reporting and ad-hoc reports with insightful analysis, on-going report development to ensure relevance to changes in the industry as well as project management activities.

This will require the successful candidate to have good working knowledge of Global Markets and Treasury products, knowledge around derivative pricing, understanding of xVA calculations and key inputs. Knowledge of C++/SQL/SAS/R are critical. In addition the candidate must be a strong team player and have previous experience in delivering process enhancements.

Detailed Responsibilities:

  • Prepare accurate and insightful xVA P&L reporting along with attribution and commentary
  • Support the team to enhance analysis on xVAs which includes providing key insights into xVA development and methodology.
  • Apply excellent systems skills to implement and support tools and processes; Engage with technical resources outside the team to collaboratively deliver accurate/timely results.
  • Apply skills to deliver new and improved analysis that provides insights into the XVA results.
  • Communicate and present complex information to a variety of stakeholders.
  • Assist with other related Financial Markets Projects
  • Continuously develop new and improve/streamline existing XVA tools across all asset classes
  • Reduction of manual processes and more robust processes and tools to reduce operational risk and increase efficiencies
  • Become a systems SME, and continually analyse gaps in our coverage and seek to fill those gaps in order of materiality

Required Skills and Experience:

  • Working knowledge of valuation principles for linear (Delta 1) and non-linear (Delta 2) products across FX, Rates and Commodities gained within the banking industry
  • Strong commercial understanding of the way products and markets behave e.g. understanding of cross-gamma events
  • Working knowledge of the xVA pricing and industry implications
  • Understanding of P&L attribution and risk dynamics understanding
  • Strong system skills (C++/C#, SQL, SAS, R, Python etc.)
  • Strong communication skills and the ability to translate highly complex information into simple terms are essential
  • Ability to turn theory or research into fully reversible practical solutions