CCR / XVA Quant

Location: London, England, United Kingdom

Salary: GBP950 - GBP1000 per day

This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills.

The core objectives are

(1) to review and improve or re-build the existing suite of models and methodologies,

(2) to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and

(3) to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and

(4) keep abreast of  business (trading, structuring & credit risk manager) and regulatory requirements, and

(5) engage in industry discussions aimed at informing policy.


Role responsibilities

  • Appropriately calibrated and applied traded credit models helps ensure that risk is more accurately quantified, allocated and managed. This in turn leads to more appropriate risk-return analysis for the business.
  • Regulatory approval for effective traded credit models aligns risk measurement and capital. This is optimal and removes arbitrage.
  • Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
  • Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied.
  • Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments.
  • Understanding of mathematical concepts behind models already implemented
  • Ability to navigate through the existing analytical modules of the CCR&XVA Library
  • Ability to propose mathematically sound alternative to address methodology deficiencies.
  • Ability to modify existing library component to resolve issues
  • Ability to adopt Test Driven approach in methodology construction and while developing in the library
  • Ability to run batches and test suites
  • Ability to document and to use communication tools at disposition to convey the right message to stakeholders
  • Appetite to learn and enthusiasm in performing daily task including the less glamorous ones
  • The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.
  • Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, QuiC, Java).
  • Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
  • Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
  • Being able to lead and manage a project involving different stakeholders across several geographies
  • Role Context (The environment and operating conditions of the role including the extent of guidance and authority)














London, England, United Kingdom London England GB