XVA Risk Quant

Pardus Bridge Recruitment; Paris; On-site; EUR 80,000 - 120,000; Full time

Job summary

A leading recruitment agency is seeking a Senior XVA Quant to support a major financial institution in developing its counterparty credit risk and XVA frameworks. This role involves designing and validating advanced quantitative models, implementing quant libraries, and collaborating with various teams, including Trading and IT. Ideal candidates will have over 10 years of experience in counterparty credit risk, Monte Carlo methods, and derivatives pricing across multiple asset classes. Strong technical skills in C++, Python, and C# are essential.

Qualifications

• 10+ years’ experience as a Quantitative Analyst / XVA Quant.
• Strong expertise in Counterparty Credit Risk and XVA frameworks.
• Proven experience with Monte Carlo methods and stochastic modelling.
• Solid understanding of derivatives pricing across multiple asset classes.
• Experience working in Front Office and/or Model Risk environments.

Responsibilities

• Design, develop, and enhance XVA models (CVA, DVA, FVA, ColVA, etc.).
• Build and improve Monte Carlo simulation frameworks for exposure and pricing.
• Implement and maintain quant libraries in production environments.
• Contribute to Wrong-Way Risk (WWR) modelling and advanced correlation structures.
• Support pricing of derivatives across asset classes.
• Work closely with Trading, Risk, Model Validation, and IT teams.
• Participate in model validation, governance, and regulatory interactions.

Skills

Monte Carlo methods

Stochastic modelling

Counterparty Credit Risk

XVA frameworks

Derivatives pricing

C++

Python

C#

Job description

We are looking for a Senior XVA Quant to support a leading financial institution on the development and enhancement of counterparty credit risk (CCR) and XVA frameworks.

This role sits at the intersection of Front Office, Risk, and IT, focusing on the design, implementation, and validation of advanced quantitative models across multiple asset classes.

Key Responsibilities

• Design, develop, and enhance XVA models (CVA, DVA, FVA, ColVA, etc.)
• Build and improve Monte Carlo simulation frameworks for exposure and pricing
• Implement and maintain quant libraries (C++ / Python / C#) in production environments
• Contribute to Wrong-Way Risk (WWR) modelling and advanced correlation structures
• Support pricing of derivatives across asset classes (IR, FX, commodities, equities)
• Work closely with Trading, Risk, Model Validation, and IT teams
• Participate in model validation, governance, and regulatory interactions
• Provide day-to-day support to Front Office and Risk teams

Required Experience

• 10+ years’ experience as a Quantitative Analyst / XVA Quant
• Strong expertise in Counterparty Credit Risk and XVA frameworks
• Proven experience with Monte Carlo methods and stochastic modelling
• Solid understanding of derivatives pricing across multiple asset classes
• Experience working in Front Office and/or Model Risk environments
• Familiarity with regulatory requirements and model governa