I have an interview coming up with an xVA desk. I'm mostly from a technology background so I meet a fair chunk of the requirements but have gaps in my product and hedging knowledge which I'm trying to rectify as quickly as possible. I'm trying to improve my intuition around trading some of the instruments and the natural hedges to them. The interviewer knows this is where I am weak and I believe is looking for me to show willingness and an ability to pick up these things quickly.
I have been given this as an exercise be a colleague to give me a jumping off point to explore.
"What are the CVA risks on a EUR/USD cross-currency swap 10y with Vodafone"
Is there anyone who could advise me where I could start with this? Perhaps an overview of the risks I might have to consider or point me towards something I can read to start getting to grips with this. I've got the "XVA challenge" which seems to be an excellent book but it's quite the tome. I'm going through it but fear I will struggle to synthesis this all in time.
Any advice or materials would be greatly appreciated - this could be a real life changing opportunity for me.