A global is currently recruiting for a Quant Analyst to join their XVACCR, Collateral & Credit Quantitative Research team for an initial 6 month contract with scope to extend.
Based in Liverpool street, this role will be on a day rate of £840 inside IR35 and the eligible candidate will be offered hybrid working of 3 days office attendance per week.
The Role
They regularly interact 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
They work closely with the business to study and assess the models’ behaviour and performance. They play 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).
They continuously build and upgrade 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.
Key Responsibilities
* Design and implement pricing models and analytical tools for:
* XVA-linked activities
* Collaborate with Trading, Risk, and IT teams to deliver robust solutions
* Contribute to strategic projects including XVAVaR, SACCR, FRTB-CVA, and RWA optimization
* Enhance and maintain XVA libraries and platforms
* Support system migrations and platform development for CCP and EMIR Initial Margin
What We’re Looking For:
* Front office experience
* Strong programming skills: C++, SQL, C#, VBA. Python would also be desirable.
* Solid foundation in numerical methods: Monte Carlo simulations, optimization algorithms
* Experience with:
* Distributed computing & inter-process communication
* Multi-threaded programming
* Microsoft Office, VC++, VBA
* SQL, Access, Oracle
* Web technologies: XML, XSLT
* Analytical mindset with creative problem-solving abilities
* Self-motivated, results-driven, and adaptable to new technologies
If you have suitable skills and experience for this role, apply now and we’ll be in touch.
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