Xva Trader

Empowering Africa's tomorrow, together…one story at a time. With over years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.

Job Summary
Reporting to the Head of Counterparty Risk Trading, the XVA Trader will be responsible for managing the bank's derivatives portfolio exposures, optimizing pricing and hedging strategies across Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), Margin Valuation Adjustment (MVA), Collateral Valuation Adjustment (ColVA), and Capital Valuation Adjustment (KVA).

This role requires a deep understanding of counterparty risk, regulatory capital implications, and funding dynamics across multiple asset classes.

Opportunity to be part of a leading financial institution with a strong derivatives and risk management presence. Will work on cutting-edge XVA strategies and contribute to the bank's financial optimization whilst collaborating with top-tier traders, quants, and risk professionals in a dynamic and intellectually stimulating environment.

Experience & Knowledge
Minimum 6 years plus of experience in XVA trading, credit and funding risk management, or a related derivatives role. Strong understanding of derivatives pricing, counterparty credit risk (CCR), and collateral management. Proven experience in managing an XVA or Trading book with a track record of optimizing P&L. Familiarity with market and regulatory developments impacting XVA (e.g., Basel III, SA-CCR, FRTB, IFRS 13). Expertise in financial markets, including rates, FX, credit, and equity derivatives.

Skills & Competencies
Strong quantitative and analytical skills, with experience in stochastic calculus and derivatives modeling. Proficiency in risk management tools, quantitative modeling platforms, and programming languages (Python, C++, VBA, or similar). Ability to work in a fast-paced trading environment and make risk-conscious decisions under pressure. Team player with excellent stakeholder management and communication skills, with the ability to multi-task, articulate complex valuation concepts to non-technical audiences. Commercial mindset with a focus on driving P&L and capital efficiency.

Preferred Qualifications
Minimum Honours / master's in mathematics, Actuarial, Physics, Engineering, or a related quantitative field. CFA, FRM, or CQF designation is a plus. Commodities / Equities / Credit / Fixed Income / Options / XVA valuation experience preferred. Knowledge of XVA engines such as Murex, Numerix, CompatibL or proprietary bank models is an advantage.

Job Description
Work closely with trading desks, risk management, treasury, and quant teams to enhance the bank's XVA framework and profitability.

Trading & Risk Management
Price and manage XVA adjustments across the ABSA Group's derivative portfolios, ensuring optimal risk transfer and efficient hedging strategies. Develop and execute trading strategies to manage credit, funding, and capital risk efficiently. Work closely with front-office trading desks to price and structure derivatives with an XVA-conscious approach. Monitor and manage the P&L and risk sensitivities of the XVA book, ensuring alignment with risk appetite and regulatory requirements. Optimize collateral and funding strategies in collaboration with Treasury and ALM teams.

Strategy & Optimization
Enhance XVA methodologies and frameworks to improve risk management and pricing accuracy. Identify opportunities to optimize XVA impact on the bank's derivatives portfolio and capital efficiency. Work with quant teams to refine models for pricing and risk measurement of CVA, FVA, KVA, COLVA, and MVA. Support regulatory capital management initiatives by advising on optimal counterparty risk and capital allocation strategies.

Stakeholder Engagement & Collaboration
Provide thought leadership on XVA to internal stakeholders, including senior management, risk, treasury, and trading desks. Collaborate with technology and quant teams to enhance pricing models and risk management systems. Support regulatory and compliance teams in ensuring adherence to capital and risk management frameworks (e.g., FRTB, UMR, Zaronia Benchmark Reforms). Engage with external stakeholders such as clearing houses, brokers, and regulators on matters related to counterparty risk and funding.

Education
Bachelor's Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required).

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of , preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank. Absa Bank Limited reserves the right not to make an appointment to the post as advertised.