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XVA Trader - Rates & Currencies XVA Desk -EMEA (Hybrid)

Citi Bank
XVA Trader - Rates & Currencies XVA Desk -EMEA (Hybrid)
London, GB
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Job Description

Role :

A trader to work alongside an established CVA/XVA trading desk managing all aspects of deal pricing, book management and projects.

** Background/context** :

The CVA/XVA desk is responsible for the pricing and subsequent risk management of the XVA of trades in the rates and currencies business. The desk also manages and prices the use of funding and capital, as well as manages the business response to LIBOR transition. The desk prices transactions of varying sizes, and manages several portfolios of credit, rate, fx, volatility and basis risk. The desk works closely with corporate and institutional sales, risk management, finance, and all rates & currencies trading desks.

** Key Responsibilities** :

Provide XVA, funding and capital pricing to sales desks. Optimize costs of the CVA/XVA trading and funding books, analyze and dynamically hedge risks. risk/CSA data reconciliation and management. Work with quant and IT groups on modelling improvements. Work closely with relevant control functions, IT, quants and other internal groups. Create, optimize and manage desk risk and P&L reports. Regular dialogue with internal trading desks and external sales coverage.

** Experience** :

Must have 3+ years working, preferably in an XVA trading business, including capital and notional management, as well as pricing CVA/Funding/Capital for rates and currencies products; candidates with experience in non-linear trading might also be considered.

** Skills** :

Very strong analytical and mathematical skill.

Comfortable with derivatives modelling concepts.

Strong Excel + Python/other programming skills & experience.

Ability to read CSAs and decipher important information from it.

Attention to detail.

Demonstrable team skills both within and across teams.

Ability to pick up new concepts and think outside the box quickly.

Knowledge of the following would be a plus:

  • DP analytics
  • Basel Capital Rules
  • Stress Testing
  • The latest XVA trends
  • Compression and IM optimization

** Qualifications** :

Undergraduate or higher numerate degree

Candidates applying for this role must be aware that it is a Certified Role, subject to the FCA and PRA Certification Regime.

The Certification Regime is one element of the Individual Accountability Regime which came into effect on 7 March 2016.

Under the Certification Regime, Citi UK regulated entities (Citi entities) must ensure that employees working in certain roles categorised as specified significant harm functions (Certified Roles) are assessed as fit and proper to carry out their role.

Under the guidance provided by the FCA and PRA, firms should have regard to the following when assessing fitness and propriety:

• Honesty, integrity and reputation

• Financial soundness

• Competence and capability

In order to comply with the requirements of the Certification Regime, Citi entities must take reasonable care to ensure that an employee does not perform a Certified Role without first being certified as Fit and Proper. For this reason, you will be assessed for this role against the Fit and Proper requirements, as described above.

This assessment will be carried out through extensive interviews, self- disclosures, permitted criminal record checks, regulated reference checks, credit checks and other background screening checks


Job Family Group:

Institutional Trading


Job Family:



Time Type:

Full time


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review [Accessibility at Citi]( accessibility.htm).

View the " EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the [Pay Transparency Posting]( transp_%20English_formattedESQA508c.pdf)

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