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.
SKILLS & EXPERIENCE:
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.
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