XVA Quantitative Analysis

WHO WE ARE

Quanteam Group is a Consultancy firm specialising in the Financial sector, in London, Paris, Brussels, New York and Singapore.

Since 2007, our 800 consultants provide our sector with expertise and capacity across different areas such as Financial Engineering and Quantitative Research, Regulations and Market Change, IT Transformation and Innovation.

Our major clients are Corporate & Investment Banks, Asset Managers, Financial Associations, Hedge Funds, Brokers, Trading Companies, and Insurance Companies.

The company participates in major Programmes driven by Business, Technology and Regulatory initiatives, and we bring business advice through quantitative, risk, front office and organizational experience as well as IT expertise via Business Analysis, Development, Business Continuity and Change Management.

As part of Quanteam Group, Quanteam UK (incorporated in 2007) counts more than 90 consultants, delivering our expertise to major Financial institutions in London.

CLIENT

Our client is one of the world's leading financial groups. They have a global network with 1,100 offices in over 40 countries. The Group has over 150,000 employees, offering services including corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking.

They conduct securities business internationally through its overseas subsidiaries. With each member of the group working in partnership with one another, they provide best in class service and products to corporate and institutional clients.

The Front Office Solutions (FOS) department supports sales and trading across all asset classes in London, New York, Hong Kong and Singapore, with the department head reporting directly into the international COO.

FOS-QRD is a team charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. Their products support the trading and risk functions of several different desks via in-house developed applications run on traders' desktops, compute grids and external cloud compute fabrics. This role is based on the London trading floor.

ROLE

Quanteam UK is required to insure the following:

• Support XVA BAU systems (batch and trader tools), interact with traders, interact with IT, interact with Product Control
• Collaborate in the design and development of new clients for XVA pricers, XVA features in the XVA engine, and the upstream and downstream systems including data preparation.
• Support XVA BAU systems, including some on-call and out of hours work
• Develop on XVA pricing system end to end, from batch, to library, to pricing tools
• Communicate effectively with multiple stakeholders to deliver XVA systems across multiple entities

WE ARE LOOKING FOR

Essential

Functional / Technical Competencies:

• Knowledge of XVA, rates, or similar
• Understanding of Excel as used for pricing tools
• Advanced development skills (C# or C++).

Experience:

• Experience in front office or model validation. Comfortable with messy data.

Education / Qualifications:

• MSc or PhD in relevant area.

Beneficial

Functional / Technical Competencies:

• Good knowledge of financial products
• Contribution to production code used for valuation, model validation or risk engine