Director- Equity Derivatives Market Strategy
The combined TRS/xVA team performs a dual mandate within Global Markets Americas.
TRS (Trading, Risk and Strategies) is a global team, deeply embedded in GM front office and focused on optimization of risk taking across GM GBLs by:
• Performing regular risk reporting to GBL heads
• Analyzing return scenarios of various strategies and deal stocks
• Calibrating risk limits and stress tests in accordance with GM’s risk appetite and client needs
• Monitoring optimal use of resources (including but not limited to VaR, Balance Sheet, Capital and use of Margin and Collateral)
• Frequently performing “deep dive” studies on particular desks and products
The US team performs these tasks across all GBLs in the region, in close coordination with the GBL specific teams in Europe.
xVA (cross Valuation Adjustment) is a global team focused on pricing and hedging the valuation adjustments resulting from GM’s bilateral derivatives deal stock, across products and currencies. Valuation adjustments can result from exposure to uncollateralized counterparty risk (CVA), liquidity and funding risk (LVA), future capital needs (KVA) and imbalances in collateral usage resulting fromCSA (mVA). The US team is particularly focused on correctly pricing these adjustments at origination, but also works with the larger London team on managing the existing deal stock and setting the policy for the bank.
The resource to join this team will have a strong focus on TRS subjects for the EQD GBL, with the option to be involved in TRS for other GBLs and xVA depending on time available. In this TRS EQD capacity, the resource will interact frequently with the TRS EQD team in Paris, performing “first-line-of[defense” monitoring analysis for the risks in the US EQD perimeter while relying on the tools built by the central TRS teams.
Resource will also frequently interact with senior traders and sales managers as well as GBL Heads. As such, there is a strong need to be able to present complicated subjects confidently and succinctly in order to collect and convey data regarding TRS-related topics, and to facilitate decision making at senior levels in the Bank.
• 5 yrs. + of experience in EQD-related Front Office, Risk Management or Quantitative Research Role
• Advanced degree in a quantitative discipline is a strong plus
• Excellent desktop skills – including Excel, Word and PowerPoint
• Highly organized and adept at managing competing deliverables.
• Strong team skills but comfortable working independently with clear directives: independently driven and able to operate autonomously
• Highly ethical and detail-oriented
• Advanced degree in a quantitative field
• Proficiency in light programming (VBA)
• Experience interacting with senior decision makers in a front office environment
FINRA Registrations Required:
The successful candidate will be required to take the Series 7 and 63.