Quantitative Researcher - XVA & Collateral - CDI

Context

The candidate will be sitting within the XVACCR, Collateral & Credit Quantitative Research team. The mandate of the quant team is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral, and Credit topics. The quant team regularly interacts 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

• Trading and Risk Management for Credit derivatives

The quant team closely works with the business to study and assess the models’ behaviour and performance. It also plays 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, etc.) and metrics needed to manage XVA reserves properly (optimisation modules, sensitivities with AAD, machine learning, etc.).

The quant team continuously builds and upgrades 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, supporting the XVA and Scarce Resources Management and Collateral Management functions.

Location: Paris

Missions

• Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM, etc.).

• Define and implement mathematical tools and pricing models for XVA-linked activity.

• Interact and support Trading, RPC, and IT partners.

Tools & Environment

• High programming skills (C++, SQL, C#, VBA, etc.).

• Good knowledge of numerical methods such as Monte Carlo, optimization algorithms, etc.

• Recent experience and strengths in most of the following:

  • Distributed computing and inter-process communication

  • Multi-threading programming

  • Microsoft products: Office, VC++, VBA

  • SQL, Access, Oracle

  • Web technologies: XML, XSLT

• Strong team orientation, ability to work alone, and highly self-motivated

• Able to adapt and learn new technologies quickly

• Results and time oriented

• Excellent analytical and problem-solving abilities

• Creative, able to devise and implement multiple solutions

• Good communication skills — both verbal and written