Akkodis latest opportunity with a client in the UK.
Start: ASAP
Location: London - Bishopgate 2/3 days per week / the rest WFH
Duration: 6 months rolling contract
Summary
The candidate 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, Counterpart 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' behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly (Optimisation modules, Sensitivities with AAD, Machine Learning …).
The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is also actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects.
supporting the 'XVA and Scarce Resources Management 'and 'Collateral Management' functions.
Key Responsibilities
* Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM …).
* Define and implement mathematical tools and pricing models for XVA-linked activity.
* Interact and support Trading, RPC and IT partners.
Other info:
* 3 days on-site but first 2 months will be required on-site 5 days.
* Must have C++ & C#
* Ideally someone with Python experience but C++ and C# are more important.
* Working on XVA/RWA Optimisation
* Interact and support the trading team.
* Experience with modelling and understanding financial products.
* Has some IT skills and knowledge of eco systems whether there are delays, how the workflows are organised etc.
* Looking for someone with 3+ years' experience.
* Must have front office experience.
Apply with your CV for immediate consideration
Modis International Ltd acts as an employment agency for permanent recruitment and an employment business for the supply of temporary workers in the UK. Modis Europe Ltd provide a variety of international solutions that connect clients to the best talent in the world. For all positions based in Switzerland, Modis Europe Ltd works with its licensed Swiss partner Accurity GmbH to ensure that candidate applications are handled in accordance with Swiss law.
Both Modis International Ltd and Modis Europe Ltd are Equal Opportunities Employers.
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