Summary
Overview
Work history
Education
Skills
Affiliations
Timeline
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Varun Nagarajan (CFA)

Summary

xVA Trader with proven trading abilities, a rich risk management background and a detail oriented work ethic.

Overview

15
15
years of professional experience

Work history

XVA Trader - Director

Credit Suisse AG/UBS AG
London
11.2021 - Current
  • XVA Trading: Optimal Risk management of the volatility of the XVA reserves by trading derivatives across the credit, FX and rates asset classes. Built analytical tools to dynamically manage x-gamma moves, monitored illiquid situations in credit and leveraged broker/dealer relationships to source efficient hedges


  • XVA Pricing: Worked with origination and sales to provide timely pricing while incorporating wrong way risk, cross gamma and illiquidity considerations and factoring in client relationships and revenue targets


  • Capital Hedging Strategy: Responsible for crafting capital optimization strategies using credit derivatives under VaR and FRTB CVA while limiting directional risk


  • Non-Core Derisking: Assisted non-core structurers set P&L budgets for derivative auctions by pricing XVA and capital charges. Advised on unwind sequencing, sub-portfolio creation and backsolving dealers bids for the various valuation adjustments


  • Credit Curve Proxies: Mapped counterparties to liquid proxies like traded index or CDS which involved identifying proxies, analyzing implied bond spreads and factoring in refinancing, seniority and parent guarantees

XVA Market Risk Manager

Credit Suisse AG
London
06.2015 - 11.2021
  • XVA & Capital Management : Improved desk limits structures, introduced bespoke scenario limits and enhanced the Pre-Trade Approval (PTA).
  • On the capital front, proposed hedge strategies and risk capture enhancements that mitigated in excess of 3 billion in RWA

Rapid App Developer & Scenario Analyst

Credit Suisse AG
Singapore
02.2010 - 05.2015
  • Maintained and developed features for risk valuation systems pricing vanilla, exotic credit and FX trades

Education

Charterholder - Chartered Financial Analyst (CFA)
04.2001 -

Bachelor of Engineering - Electrical Engineering

National University Of Singapore (NUS)
Singapore
07.2009

Technische Universität München - Exhchange Student
Munich
08.2008

Skills

  • Managing XVA risks
  • Macro & CDS Trading
  • Live pricing & Deal origination
  • Capital Hedging Strategies - CCR & CVA
  • FRTB CVA Modelling & Hedging
  • Beginner Python skills

Affiliations

  • Playing the guitar, coastal hiking and watching sports (NFL, golf & cricket)

Timeline

XVA Trader - Director

Credit Suisse AG/UBS AG
11.2021 - Current

XVA Market Risk Manager

Credit Suisse AG
06.2015 - 11.2021

Rapid App Developer & Scenario Analyst

Credit Suisse AG
02.2010 - 05.2015

Charterholder - Chartered Financial Analyst (CFA)
04.2001 -

Bachelor of Engineering - Electrical Engineering

National University Of Singapore (NUS)

Technische Universität München - Exhchange Student

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Varun Nagarajan (CFA)