XVA CCR Quant Analyst - Associate VP - Quanteam - eFinancialCareers : Job Details

Job:XVA Quant Analyst - AVP

Location: London, UK

Hybrid working – 3 days on-site

Full Time – both perm and contract available

The XVA Quant will be sitting within the XVACCR, Collateral & Credit Quantitative Research. The mandate of the quant team is to produce quantitative modelling and innovative solutions for XVA, Counterparty Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:

• XVA and Scarce Resources desk for XVA pricing and modelling
• Risk department for Internal & Regulatory CCR, Accounting XVA, and SIMM
• Collateral desk for discounting, SIMM and IMVA with CCPs
• Trading and Risk Management for Credit derivatives.

The quant team closely works with the business to study and assess the models’ behavior and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly (Optimization modules, Sensitivities with AAD, Machine Learning …).

The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimized architecture. The team is also actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects, supporting the XVA and Scarce Resources Management and Collateral Management functions.

KEY RESPONSIBILITIES

• Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM …)
• Define and implement mathematical tools and pricing models for XVA-linked activity
• Interact and support Trading, RPC and IT partners.

PROFILE REQUIREMENTS

• High programming skills - C++ primary,
• Secondary: SQL, C#, VBA …).
• Good knowledge of numerical methods such as: Monte Carlo, Optimisation algorithms, … .
• Recent experience and strengths in most of the following:
  • Distributed computing and Inter-process communication
  • Multi-threading programming
  • Microsoft products: Office, VC++, VBA
  • SQL, Access, Oracle
  • Web technologies: XML, XSLT
• Strong team orientation, ability to work alone and highly self-motivated
• Able to adapt and learn new technologies quickly
• Results and time oriented
• Excellent analytical and problem-solving abilities
• Creative, can devise and implement multiple solutions
• Good communication skills - both verbal and written
• Previous experience XVA and/or RWA optimisation

WHO WE ARE

Quanteam Group is a Consulting firm specialized in the Capital Markets industry, in Paris, London, Krakow, Brussels, New York and North Africa.

Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.

The firm mainly takes part in:

• • Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organizational Transformation & Process Improvement.
  • IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Software (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.

As part of Quanteam Group, Quanteam UK & PL has today more than 80 consultants, working for major Capital Markets institutions in London and Krakow.