• Permanent, Full time
  • Anson McCade
  • 17 Apr 18
  • London, England, United Kingdom
  • Competitive
  • Full time

XVA Quant – Assoc

The Quantitative Research Group for Counterparty Credit Risk is responsible for developing and supporting models to measure counterparty risk in the investment bank. The group is also responsible for the wider XVA modeling e.g. modeling funding valuation adjustments (FVA) as well as credit risk capital. Counterparty risk models are highly complex cross-asset class portfolio valuation models.

XVA Quant – Assoc
London based

Counterparty Risk is the risk that a counterparty to the firm does not fulfill its contractual obligations in full, typically as a result of the default of the counterparty. The associated Counterparty Valuation Adjustment (CVA) is the fair value of the compensation required for taking on this risk. Our client is a pioneer and industry leader in counterparty risk measurement and management.

The Quantitative Research Group for Counterparty Credit Risk is responsible for developing and supporting models to measure counterparty risk in the investment bank. The group is also responsible for the wider XVA modeling e.g. modeling funding valuation adjustments (FVA) as well as credit risk capital. Counterparty risk models are highly complex cross-asset class portfolio valuation models.

Core responsibilities:

  • Design and implement new cutting-edge, cross-asset, counterparty risk simulation models as well as enhance the existing library.
  • Support the XVA trading desk and Credit risk organization in pricing and risk managing credit risk.
  • Work closely with asset aligned quantitative research groups in order to onboard new products into the counterparty risk valuation framework.
  • Liaise with technology teams in order to build out risk management systems and front end tools.
  • Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals.
  • Liaise with Valuation Control and risk groups to understand limitations and risks in existing models and help in setting appropriate reserves and limits

Essential skills, experience, and qualifications:

  • PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.
  • Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.
  • Excellent analytical and problem solving abilities.
  • Extensive C/C++ coding experience
  • Excellent communication skills (written and verbal).
  • Team work oriented.

Desirable skills, experience, and qualifications:

  • Experience in Counterparty Risk Modelling (CVA), funding valuation adjustment (FVA) or credit risk capital.

To apply, send CVs to bradley.caton-garrett@ansonmccade.com

London, England, United Kingdom London England GB