C# Developer CVA Risk C# Developer CVA Risk …

iKas International
in London, United Kingdom
Contract, Full time
Be the first to apply
GBP650 - GBP750 per day
iKas International
in London, United Kingdom
Contract, Full time
Be the first to apply
GBP650 - GBP750 per day
-

A large tier-1 investment bank is looking to hire 2 Senior C# Developers to work within their xVA Development team.

This is a high profile role working on the bank's strategic Front Office Risk Platform where the right candidate has the opportunity to directly impact the project's success and stand out. This is an excellent opportunity for those with a risk background to gain front office trading and regulatory exposure.

The xVA desk is a global trading desk at Credit Suisse (CS) present in London, New York and Singapore that has responsibility for:

  1. Credit Valuation Adjustment (CVA) Calculation and hedging
  2. Collateral Adjusted Valuation (CAV) hedging
  3. Funding Valuation Adjustment (FVA) calculation and hedging
  4. Leverage ratio compression portfolio optimization
  5. Numerous regulatory projects including CCAR CVA, FRTB CVA, and FDSF

The successful candidate will join the xVA development team where their primary role will be to work closely with and support the activities of the CVA trading desk, developing solutions for ongoing trading requirements and major regulatory initiatives (e.g. CCAR, FRTB). This role provides an excellent opportunity to work closely with the front office and quant analysts in areas at the forefront of regulatory change and development in investment banking.

xVA is a dynamic front office-facing environment and will therefore require self-motivation, enthusiasm and very good communication skills in addition to strong, broad ranging technical abilities.

The xVA Technology team is responsible for the bank's strategic distributed risk system, extending it to support the xVA desk, including:

    • Sophisticated risk analysis and reporting functionality.
    • Market and trade data interfaces.
    • Services to integrate the risk analytics engine with the trading application layer
    • Scenario and regulatory exposure calculations
    • Downstream feeds and reporting layer
    • Provide ad hoc fourth line development support to the desk

Responsibilities:

  • Developing on a large, distributed risk platform that is shared across a number of business areas
  • Adding new functionality whilst also being mindful of TCO costs of the platform, making most efficient use of our calculation grid and MonteCarlo resources
  • Driving innovation and simplification in a complex platform
  • Interacting with a range of business stakeholders and users
  • Understanding the CVA/xVA business process

Essential Skills:

  • Strong C# server knowledge with multi-threading and excellent design skills
  • Strong MS SQL Server and/or SSAS knowledge
  • Extensive experience in financial / trading related risk and instruments (preferably a CVA or Credit derivatives background
  • Ability to pick up any technical problem and run with it to reach a successful conclusion
  • Excellent communication skills (both verbal and written) to interact with key stakeholders and regional teams

Your International Talent Provider

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