How does a CVA trading desk work?

[quantdo]

Hi! I'll be interning over the next summer with CVA trading desk at a big IB. I'd like to know how exactly does a CVA trading desk function. What core tools and techniques are used?

 

[MichaelLewis]

Hi! I'll be interning over the next summer with CVA trading desk at a big IB. I'd like to know how exactly does a CVA trading desk function. What core tools and techniques are used?

In terms of function, they generally centralize the banks counterparty risk and hedge against it.

I don’t work on a CVA desk so there’s a lot that I am not aware of, but I like this article by Risk.net

https://www.risk.net/media/download/945366/download

 

[quantdo]

In terms of function, they generally centralize the banks counterparty risk and hedge against it.

I don’t work on a CVA desk so there’s a lot that I am not aware of, but I like this article by Risk.net

https://www.risk.net/media/download/945366/download

Thanks! very insightful article.

Also, how quant-heavy are roles in CVA desks generally?

 

[MichaelLewis]

Thanks! very insightful article.

Also, how quant-heavy are roles in CVA desks generally?

This might depend on the bank but from what I know they are generally highly respected quants. Although you’d probably want to be at a bank where the desk has a PnL versus being treated as a cost center.