Senior XVA Quant | London, UK | Hybrid

Quanteam; London; Hybrid; GBP 80,000 - 100,000; Full time

Job summary

A leading consulting firm in the Capital Markets industry is seeking a Senior XVA Quant in London. The role involves developing enhanced methodologies for CCR and XVA risk measurement, requiring strong analytical skills and effective communication with stakeholders. The ideal candidate will have extensive experience in quantitative analytics and programming, particularly in Java and C++. This position offers a hybrid working model with competitive daily rates.

Qualifications

• At least 4 years of experience in CCR/XVA Quantitative Analytics.
• Expert Java or C++ developer.

Responsibilities

• Develop new models to meet changing regulatory requirements.
• Understand and quantify traded credit risk.

Skills

Stochastic Calculus

Communication

Project Management

Education

Degree in Quantitative Finance

Tools

Java

C++

Python

Job description

Senior XVA Quant

Quanteam London, United Kingdom Apply now Posted 1 day ago Hybrid Job Contract up to £900 Umbrella

Hybrid Working – travel to office is required

Up to £950 Daily Umbrella

OUR PROJECT

Our client, a major British Investment Bank, is looking to bring on-board a Quantitative Analyst to join the Global Risk Analytics department.

This is a project responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills.

The core objectives are:

• to review and improve or re-build the existing suite of models and methodologies,
• to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
• to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
• keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
• engage in industry discussions aimed at informing policy.

MAIN RESPONSIBILITIES

• The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.
• Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, Python, Java).
• Forming a good understanding of the credit risk exposure taken within the bank in order to guide the development of new or enhanced risk methodologies.
• Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
• Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
• Being able to lead and manage a project involving different stakeholders across several geographies

Management of Risk (Operational Risk/FIM requirements)

• The consultant will also continually reassess the operational risks associated with the role and inherent in the business, taking account of changing economic or market conditions, legal and regulatory requirements, operating procedures and practices, management restructurings, and the impact of new technology.
• This will be achieved by ensuring all actions take account of the likelihood of operational risk occurring. Also by addressing any areas of concern in conjunction with line management and/or the appropriate department.

Observation of Internal Controls (Compliance Policy/FIM requirements)

• The consultant will adhere to and be able to demonstrate adherence to internal controls, which will be achieved by adherence to all relevant procedures, keeping appropriate records and, where appropriate, by the timely implementation of internal and external audit points, including issues raised by external regulators.
• The consultant will implement the Group compliance policy by containing compliance risk in liaison with Global Head of Compliance, Global Compliance Officer, Area Compliance Officer or Local Compliance Officer. The term ‘compliance’ embraces all relevant financial services laws, rules and codes with which the business has to comply.
• This will be achieved by adhering to all relevant processes/procedures and by liaising with Compliance department about new business initiatives at the earliest opportunity. Also and when applicable, by ensuring adequate resources are in place and training is provided, fostering a compliance culture and optimising relations with regulators.

PROFILE

• At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building CVA Sensitivities models and developing solution in Java or C++ libraries (Applies only to VP/GCB 4 applicants)
• Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators. (Applies only to VP/GCB 4 applicants)
• Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE. (Applies only to VP/GCB 4 applicants)
• Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
• Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
• Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
• Expert Java or C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach
• Open personality and effective communication skills, ability and flexibility to work in an international team
• Ability to write clear and understandable documents

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.

Quanteam Group is a Consultancy firm specialised in the Financial Markets industry.Since 2007, our 800 consultants provide major clients (Corporate ...

Senior eFX Java Developer Quanteam London, United Kingdom

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