Quantitative Analyst

Job Description

The candidate will be sitting within the XVACCR, Collateral & Credit Quantitative Research. The mandate of the quant team: is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. 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 implementation techniques 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 (Optimisation modules, Sensitivities with AAD, Machine Learning).

The quant 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 XVA and Scarce Resources Management and Collateral Management' functions.

Key Responsibilities

Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM).

Define and implement mathematical tools and pricing models for XVA-linked activity.

Interact and support Trading, RPC and IT partners.

SPECIAL ROLE REQUIREMENTS:

High programming skills (C++, SQL, C#, VBA).

Looking for Quants with 4-8 years of experience and Investment Banking experience.

Good knowledge of numerical methods such as: Monte Carlo, Optimization algorithms.

Recent experience and strengths in most of the following:

o distributed computing and Inter-process communication

o Multi-threading programming

o Microsoft products: Office, VC++, VBA

o SQL, Access, Oracle

o Web technologies: XML, XSLT

Strong team orientation, ability to work alone and highly self-motivated

Able to adapt and learn new technologies quickly

Results and time oriented

Excellent analytical and problem-solving abilities

Creative, can devise and implement multiple solutions

Good communication skills - both verbal and written

This will be a 12 month contract with the view to extend. They will also offer hybrid working and a competitive day rate.

If you are interested please apply and if your profile meets our clients requirements we will reach out within 48 hours.

London, UK

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