Quant Xva - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

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' behaviour and performance.

It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementationtechniques 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.

The quant team continuously builds and upgrades XVA libraries and platforms to implementregulatory changes in an optimised 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 - Efficiency and accuracy of developments

Reactivity in the function of supporting library users
Innovation in models and numerical pricing techniques
Trading, RPC and IT partners support
Models, methods, products implementation in the QR library/tools Legal and Regulatory Responsibilities Ensure adherence with regard to internal CA-CIB compliance guidelines and governing agency rules and regulations.

Special role Requirements - Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms,....

Knowledge of SIMM and XVA.
High programming skills (C++, C#, VBA, Java, SQL...).
Recent experience and strengths in most of the following:
Microsoft products: Office, VBA, VC++
XLL, COM technologies
Java, SQL, Access, Oracle
Web technologies: XML, XSLT
Strong team orientation, ability to work alone and highly selfmotivated
Able to adapt and learn new technologies quickly
Results and time oriented
Excellent analytical and problemsolving abilities
Creative, can devise and implement multiple solutions
Good communication skills both verbal and written

Knowledge and Skills - Qualifications/Education required : Master degree in Computer Science or Engineering or equivalent experience

Experience required : previous experience XVA and/or Credit
Competencies required:

1) High programming skills (SQL, VB, C++, C#...).
2) Excellent analytical and problem-solving abilities

3) Strengths in:
3.1) Office, VBA, VC++
3.2) XLL, COM technologies.
3.3) Java, SQL, Access
3.4) XML, XSLT
Skills & Knowledge Requirements Creativity, Autonomy, and Team spirit