Quantitative Analyst (Senior Associate / AVP)

Job Overview

The XVA Quant 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, Counterparty 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’ behavior and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling ...