XVA Quantitative Analyst
- Competitive Rates
- Paris, Ile-de-France, France
- Contract, Full time
- 24 Jan 18 2018-01-24
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.