XVA Desks

Incoming S&T SA and one potential rotation is the XVA desk. Wondering if someone could shed some light as to what the desk is like. Mostly interested in whether it is more quantitative/ qualitative, necessary skills (more excel and VBA or python/ coding heavy), macro/ micro focused, and what the future of these desks looks like. Any color is appreciated.

 

Very quantitative. Coding aspect is variable depending on desk culture, but requires a strong conceptual understanding of maths. Technically falls under the “macro” category at my BB as you are usually doing convexity adjustments for interest rate swaps, CMS, and other rates products

 

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