XVA Quantitative Model Risk

  • Highly competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Anson McCade
  • 20 Sep 16

My client is one of the leading investment banks in the UK with a keen interest in expanding their model risk team through a bespoke model validation role.

XVA Quantitative Model Risk


The ideal candidate will be very hands on with practical experience in a similar role. Good quant and programming ability is crucial as this role will involve creating complex models to compare, contrast and ultimately improve existing models. There is extensive contact with FO, discussion with traders and quant’s in regards to models and how they are used as well as being involved when models are initially conceived. There is interaction with other groups such as market risk managers and VaR, making this very much a 360 degree role.

The attraction here is that they look at all the methodologies, models and approaches used in the past and critically assess which is the best they should use in the review process and then implement the model from scratch – a very hands on role using the best modelling techniques that have evolved over the last five years in the XVA world.

Key Roles & Responsibilities

  • Creating sophisticated models to compare and contrast models already in production
  • Critical Review of Front Office Pricing models for XVA calculations.
  • Where appropriate, to suggest improvements and / or alternative models / numerical methods.
  • Preparation of accurate and concise documentation for consumption by Senior Management.

Qualifications & Skills

  • Detailed knowledge of Financial Mathematics for derivatives pricing, and associated numerical methods,  e.g. Monte Carlo, PDE, numerical integration.
  • Solid understanding of current modelling techniques, ideally in XVA /  Rates / Credit
  • Practical hands-on experience of implementing derivatives valuation models in C++ in either Front Office or Model Validation environment.
  • Strong communication skills and ability to work effectively as part of a Global Team.
  • Ability to liaise effectively with Front Office traders and quants.