Associate, xVA Analyst

London, South East England

Overview of Department/Section

xVA management is the central trading desk managing the residual OTC derivative risks of the bank. Amongst other mandates, xVA trading is responsible for pricing and hedging valuation adjustments relating to credit, funding, margin, capital, and liquidity, as well as managing and optimizing the scarce balance sheet resources of the bank. The XVA desk is a central front office risk management trading function mandated to mitigate and manage these risks, whilst at the same time optimizing the balance sheet to facilitate future business, and ensuring that the front office remains at the forefront of the OTC derivative market practices and developments.

Main Purpose of the role

The xVA Analyst assists the more senior traders in day to day operations, thereby enhancing the efficiency and scope of the xVA trading desk.

The main responsibilities of the role are:

1) Pricing of XVAs for new deals;

2) Libor replacement/RFR readiness.

This role is also responsible for working closely with business and support teams across Securities and Bank to focus on improving data, calculation, reporting, and management processes.

Key Responsibilities


  • Inception pricing of new deals xVA for CVA, FVA, collateral VA, capital, margin, etc.
  • Working closely with Rates Trading Group (RTG) and the Derivative Solutions Group (DSG), and other trading desks, on pricing requests
  • Liaison with CPMO (Credit Portfolio Management Office) and ECPMO on the Bank side on all CVA matters relating to the Bank guaranteed derivative portfolio
  • Working with quants and risk on new xVA models and functionality
  • Working with treasury, quants, risk, operations on funding, margin and capital initiatives

RFR/Libor replacement:

  • Participating in working groups as the front office SME on RFR matters
  • Preparation of transition plans with focus on risk and PV changes, and managing the orderly transition thereof
  • Working closely with FOS (Front Office Solutions) to ensure models, data, and trading spreadsheets are ready to facilitate pricing and trading under the new regimes
  • Acting as the front office point person for communications to other dealers (along with Trading) and clients (along with Sales)

Work Experience


  • Investment Banking fixed income derivative experience gained in a trading environment or technical support role


  • Working on an XVA desk or quant team

Skills and Experience

Functional / Technical Competencies:


  • Strong knowledge of interest rate, FX and credit derivative markets
  • Ability to work on multiple tasks concurrently including precise XVA pricings
  • Libor/RFR experience gained from direct exposure to a front office environment
  • Ability to act as front office SME on RFR matters
  • Experience of interacting with sales and trading functions including the ability to defend and explain pricing concepts
  • Understanding of xVA quant models and working with quants to develop new systems


  • Experience of Murex as a booking and risk management tool
  • Knowledge of capital requirements under Basel 3 and SACCR
  • Working on an xVA desk
  • Experience of trading / hedging xVA risks

Education / Qualifications:


  • Degree level in a numerical discipline

Personal Requirements

  • Excellent attention to detail and accuracy as dealing with risk and P&L affecting pricings
  • Strong communication skills as daily interaction with multiple internal and external stakeholders
  • Results driven, with a strong sense of accountability
  • A pro-active, motivated approach.
  • The ability to operate with urgency and prioritise work accordingly
  • Strong decision making skills, the ability to demonstrate sound judgement
  • A structured and logical approach to work
  • Strong problem solving and numerical skills
  • A creative and innovative approach to work
  • The ability to manage large workloads and tight deadlines
  • A calm approach, with the ability to perform well in a pressurised environment

MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.

We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.

We are open to considering flexible working requests in line with organisational requirements.