XVA Quantitative Analyst

  • Competitive Rates
  • Paris, Ile-de-France, France Paris Ile-de-France FR
  • Contract, Full time
  • PiC
  • 16 May 18 2018-05-16

An exciting opportunity to join a Global Investment Bank as part of the global risk analytics team to identify and investigate deficiencies in CCR & XVA models.

Some of your key responsibilities will be:


  • To evaluate and improve or re-build the existing models and methodologies within the bank
  • To take control of improvements to the systems and data infrastructure supporting distribution of Counterparty Credit Risk and XVA models.
  • Keep up to  date with business and regulatory requirements and get involved in industry discussions aimed at informing policy.
  • Navigate through the existing analytical modules of the CCR and XVA Library.



Some of the key requirements are:


  • Ability to lead, manage and successfully deliver project with the agreed time frame, in cooperation with all relevant stakeholders such as: model owners, credit, business, IT, senior management, and regulators.
  • Previous experience with successful regulatory submissions.
  • 4 or more years’ experience within Counterparty Credit Risk and XVA and experience in building simulation models and developing simulation models in C++
  • Proven experience with key risk measures such as CVA, EPE, PFE.
  • Experienced C++ developer and open to learning other programming languages.
  • Strong understanding of Stochastic Calculus applied to quantitative finance
  • Understanding of mathematical concepts behind models already implemented.
  • Excellent written and verbal communication skills in English.
  • At least basic French skills would be ideal, however it is not a requirement.
  • Education level of MSc or above.