Jeffrey L.
Head XVA Trader at BNY
- Role
- Cva & Funding Trader at BNY
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Jeffrey L.
Credit Valuation Adjustment and Funding trader with product knowledge of various fixed…
Experience
Cva & Funding Trader
Jan 2014 — Present · New York, NY, US
Price Credit Valuation Adjustment (CVA) and funding cost/benefit (FVA) for derivative business at trade inception Hedge interest rate, FX, cross currency, volatility risk from dervatives businessOwn Profit and Loss (P&L) for Valuation Adjustment Reserves (CVA/DVA/FVA) including hedging with cross currency basis and OIS curvesDaily P&L reconciliation, initial margin calculation, structured deal CVA and funding pricing, clearinghouse optimization and familiar with new Dodd-Frank rules regarding SEFs (Swap Execution Facilities)/MAT (Made Available to Trade) Formulate optimal funding, hedging, and trading strategies for interest rates derivative portfolio. Conduct extensive risk analysis to translate results from mathematical models and market data to optimize risk reducing hedging strategies Test and troubleshoot CVA/funding pricing models and risk analysis tools for derivative business. Develop, prototype and implement CVA pricing and simulation analytics libraries for fixed income derivatives in a front office role.Familiar with advanced mathematical theory of derivative pricing including stochastic calculus, Monte Carlo methods Perform statistical and correlation analysis for P&L History and estimation of closed form pricing and Monte Carlo simulation model parameters with historical data sets. Maintain and test models in the trading system and creating efficient portfolio models and tools in Excel.Perform credit default swap (CDS) roll/decay CVA P&L analysis, and interest rate and basis swap hedging strategies, funding valuationExecute hedge strategy with credit betas using least squares methodology over historical time series for CDX index overlay for existing credit portfolioBuilt KVA hurdle model from scratch to evaluate target spread needed to evaluate possible new transactions
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