C++ / Java Quantitative Developer - CCR XVA C++ / Java Quantitative Developer - CCR XVA …

Brickendon Consulting Ltd
in London, United Kingdom
Contract, Full time
Last application, 01 May 21
Competitive Day Rate
Brickendon Consulting Ltd
in London, United Kingdom
Contract, Full time
Last application, 01 May 21
Competitive Day Rate
Posted by:
Pierre Velinor • Recruiter
Brickendon Consulting Ltd
Posted by:
Pierre Velinor
Recruiter
Brickendon Consulting have existing projects with a number of banks and have been engaged to provide teams of Quantitative Developers deliver CCR and XVA model projects.

Responsibilities:

  • This is a role responsible for identifying and investigating deficiencies in CCR&XVA models
  • Address them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management.
  • Review and improve or re-build the existing suite of models and methodologies,
  • Propose mathematically sound alternative to address methodology deficiencies.
  • Modify existing library component to resolve issues
  • Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models,
  • Coordinate projects aimed at aligning methodologies, governance and policies around the Group,
  • Keep abreast of  business (trading, structuring & credit risk manager) and regulatory requirements,

 

 

Experience:

  • At least 4 years of experience in CCR/XVA Quantitative Analytics team.
  • Experience building CVA Sensitivities models and developing solutions in Java or C++ libraries
  • Ability to lead, manage and successfully deliver projects within the agreed time scale
  • Experience liaising with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Familiarity with key risk measures such as CVA, EPE, PFE.
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
  • Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
  • Expert Java or C++ developer but not afraid to learn other languages
  • Open personality and effective communication skills, ability and flexibility to work in an international team
Brickendon Consulting Ltd logo
More Jobs Like This
See more jobs
Close
Loading...
Loading...