Overview
The XVA group in Capital Markets is seeking a highly motivated candidate who wants to further his/her career in interest rate derivatives. This Associate position provides you with an unique opportunity to learn all aspects of xVA hedging and management. xVA team is responsible for pricing, hedging and risk management of xVAs associated with interest rate and fx derivatives. Given the small size of the trading group, you will be working on a wide-range of derivative such as swaps, options, FX and credit products.
The anticipated salary range for this role is between $150,000 and $200,000. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
Responsibilities
- Support the xVA desk in pricing xva, kva, imva etc on new deals. Work with Trading and Sales desks to understand/price all aspects of deals.
- Assist senior traders in managing risks in the xVA book, working with hedging products including credit, rates and fx.
- Work in close proximity with Quants, IT, Risk Management, Finance and other groups to resolve BAU issues, improve existing XVA infrastructure and implement new models/changes
- Help analyze/manage impacts of regulatory changes like libor cessation, sofr/libor discounting changes, new product implementation etc
- Monitor and proof daily xVA pnl and risk changes. Enhance/automate tools used for this purpose.
- Help xVA group implement daily SACCR calculations and incremental pricing, along with future capital model changes and enhancements.
- Work with Quants on various projects like performing regular regression/correlation analysis, ongoing monitoring, assisting with model documentation etc
Qualifications
- Bachelor/Mastera Degree in Mathematics/Finance/Economics or any related field
- Minimum of 2-3 years xVA related industry/banking experience and working knowledge of interest rate derivatives.
- Strong analytical skills with knowledge of Excel VBA and/or Python required.
- Working knowledge of xVA related quantitative concepts – monte carlo simulations, option pricing, default probabilities etc
- Candidate must be able to work both independently and as team member and ability to manage multiple priorities and meet tight deadlines.
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SMBC’s employees participate in a hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process.
SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG’s shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.
In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization’s extensive global network. The Group’s operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC Rail Services LLC, Manufacturers Bank, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.
SMBC is an EO employer – M/F/Veteran/Disability. SMBC provides reasonable accommodations for employees and applicants with disabilities consistent with applicable law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com