Within Global Markets, the mandate of the XVA desk is primarily to:

• Price the cost of resources for new derivatives: counterparty risk, funding, capital
• Risk manage XVA in order to minimize P&L volatility

This is a transversal desk within GM, with opportunities to work on various products, markets, clients and with daily interactions with several teams (structuring, trading, sales).

The desk focuses on a wide range of topics: counterparty risk, funding, margins (CSA collateral, regulatory and CCP initial margins), and regulatory capital (RWA) and the XVA book is an exotic book with complex hybrid dynamics.

Candidate's responsibilities

• Support pricing at origination of new trades, mainly fixed income business (rates, fx, credit) both linear and exotic, that have an embedded counterparty risk, liquidity or capital component, with typically clients such as corporates, or financial institutions with non-standard CSA. This will be done in conjunction with the head office in Paris following global methodologies but also taking extra care of local specificities (markets, products, jurisdictions).
• Develop and improve tools used by the desk for pricing and analyzing positions
• Understand the main features of the XVA exposures in the region through different angles and be able to monitor and analyze it when required, as well as participate in the desk's global projects (methodologies and platform improvements).
• Analyze scarce resources for the APAC platform, RWA, liquidity, balance sheet.

Location

Tokyo

- Major in Business, Finance, Engineering or related disciplines
- Quantitative background (mathematics, sciences, statistics…) is highly preferable
- IT skills such as Python, SQL
- Some knowledge of financial markets and products
- Curiosity, responsiveness, good communication skills and a team player

This position is only opened to the candidates who are eligible to the Business France V.I.E program :
- French or European citizens
- Between 18 and 28 years old
- To be from a country other than the host country
- Graduated