XVA Trader managing valuation adjustments, risk, capital, and hedging for Desjardins Capital Markets’ OTC derivatives business. Supporting pricing, portfolio optimization, and quantitative model development.
About the role
- XVA Trader managing valuation adjustments, hedging, and risk for Desjardins Capital Markets’ OTC derivatives business. Supporting pricing, capital, funding, and portfolio optimization across Montréal or Toronto.
Responsibilities
- Price and analyze valuation adjustments for OTC derivatives transactions, including CVA, FVA, ColVA, MVA, and capital-related adjustments
- Assess transaction impacts involving counterparty credit risk, funding costs, collateral, initial margin, liquidity, and regulatory capital
- Provide XVA pricing to sales teams and advise on transaction structuring
- Participate in client and counterparty discussions requiring XVA expertise
- Manage market and credit risks associated with XVA portfolios
- Analyze sensitivities, P&L, and risk exposures
- Design and implement hedging strategies to reduce valuation-adjustment volatility
- Contribute to managing credit spread, jump-to-default, and wrong-way risks
- Analyze funding, liquidity, initial margin, and regulatory capital impacts
- Collaborate with Treasury, Finance, and Risk Management to optimize capital, funding costs, and collateral utilization
- Contribute to compression, novation, clearing, and collateralization initiatives
- Support methodologies incorporating funding, capital, and collateral costs into pricing
- Develop and enhance XVA pricing and risk-management models, methodologies, and tools
- Partner with quantitative and technology teams to improve pricing, simulation, hedging, and reporting
- Contribute to governance, validation, and continuous improvement initiatives
- Monitor regulatory developments, market practices, and innovations related to valuation adjustments, counterparty risk, and regulatory capital
Requirements
- Master's degree in Financial Engineering, Mathematics, Physics, Statistics, Economics, Computer Science, or another relevant quantitative discipline
- A minimum of five to ten years of relevant experience
- Other combinations of qualifications and relevant experience may be considered
- Experience with the Murex platform
- Professional certification such as CFA, FRM, PRM, CQF, or equivalent
- Strong communication skills in both French and English, both oral and written
- Strong knowledge of OTC derivatives valuation and pricing
- Advanced knowledge of XVA pricing methodologies, including CVA, FVA, KVA, ColVA, and MVA
- Knowledge of regulatory capital frameworks, including SA-CCR and BA-CVA/SA-CVA
- Advanced knowledge of statistics, numerical methods, and simulation models
- Knowledge of artificial intelligence tools and the ability to use them effectively and responsibly
- Proficiency in quantitative programming tools and libraries such as Python, NumPy, and SciPy
- Knowledge of data management and analytics tools, including SQL Server and Pandas
Benefits
- Competitive salary and annual bonus
- 4 weeks of flexible vacation starting in the first year
- Defined benefit pension plan that provides predictable, stable income throughout retirement
- Group insurance including telemedicine
- Reimbursement of health and wellness expenses and telework equipment
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