- Monitor the positions on XVA and carry out market hedging activity linked to BVA/FVA positions.
- Maintain exposure within the limits described and agreed risk appetite.
- Improve hedging activity by measuring high order sensitivities, x-gamma; propose system improvements and drive system developments.
- Substantiate P&L impact of underlying risk factors and be able to explain moves to management and other stakeholders.
- At least 6 years' experience in similar role.
- Market expertise in CVA, Credit (CDS and Index CDS), FX and Rates trading.
- Fluency in English is essential. Additional languages (Dutch or French) would be helpful.
If you are interested in this role please apply within.