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Front Office XVA & Collateral Quant Research

Quant Jobs
  • London
  • £75K - £115k + bonus

Our client is a leading Investment Bank with a global footprint.  The XVA, Collateral and Credit Quant Research team is seeking an Analyst or Associate level quant to focus on developing solutions for XVA, CCR & SIMM Libraries whilst also supporting the XVA trading desk.  The  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 implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVA, VaR, SACCR, FRTB-CVA …) and metrics needed to manage their XVA reserves properly (Optimisation modules, Sensitivities with AAD, Machine Learning …).

The team continuously builds and upgrades XVA libraries and platforms to implement regulatory 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 ‘Financial Resource Management ‘and ‘Collateral Management’ functions.

KEY RESPONSIBILITIES:

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

SKILLS & EXPERIENCE:

  • Prior experience as a quantitative analyst in XVA, CCR or Rates modelling gained in FO, risk methodology or model validation
  • Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms
  • Knowledge of SIMM and XVA.
  • Advanced programming skills in C++, C# & Python
  • PhD or MSc in a mathematical science or engineering discipline.

 

We seek individuals from a diverse talent pool and encourage applicants from underrepresented groups to apply to our vacancies. Our commitment to fair recruitment processes means that we welcome applicants from all backgrounds, regardless of their lived experience or personal characteristics. We also invite applicants who meet most of the listed requirements, even if not all, to apply. If you require any adjustments to the application process, please let us know.

Barclay Simpson acts as an Employment Agency for permanent positions and an Employment Business for temporary/contract engagements.