Job Description
You join the Valuation Risk – Credit & XVA team within the Market Risk department as a Valuation Risk Analyst.
On a daily basis, your missions are to:
Follow, analyze and support the Trading desks in marking market parameters related to the Credit and XVA perimeters;Perform market value adjustment (MVA) for the Credit and XVA domains;Calibrate the necessary shocks for the calculation of market reserves and AVA MPU and COC;Participate in the improvement of the IPV Fair Value adjustment production process by implementing analysis support tools, and reviewing incidents to optimize the production of Fair Value adjustments;Analyze transactions on the Credit and XVA perimeters via retrospective tests (backtesting) on the Totem service and market reserves (FairVA).As a risk assessment analyst, you hold an essential position in the creation and review of the bank’s valuation risk management fra...