Senior Quantitative Analyst – XVA C++/C#

Our client, a key player in the financial markets, is looking for a Senior Quantitative Analyst to strengthen its Risk & XVA team. The ideal candidate will have a solid expertise in financial mathematics, C++/C# development, and interest rate and credit derivatives, with proven experience in XVA calculation and valuation.

Responsibilities

• Develop and maintain XVA calculation tools (CVA, DVA, FVA, KVA) for the derivatives desks.

• Collaborate with the Front Office, Risk, and IT teams to design and implement robust and efficient quantitative solutions.

• Design valuation and risk management models for OTC and listed products.

• Optimize computation performance and contribute to the technical architecture of pricing systems.

• Participate in process automation and the integration of new features.

Profile sought

• Excellent command of XVA modeling.

• Strong knowledge of structured products and interest rate models, as well as issues related to interest rate curve shifts.

• Proven experience in design and development within a live pricing library.

• Very good command of C++ and C# programming languages.

• Experience with agile methods and good proficiency in English (written and spoken).

Advantages of this opportunity

• Work on strategic projects at the core of derivatives and risk management activities.

• Direct collaboration with traders, risk managers, and IT teams, providing strong visibility and a direct impact.

• Development of sharp technical expertise on quantitative and advanced pricing topics.

• Evolve in a stimulating environment conducive to innovation and initiative-taking.

• Opportunity to contribute to the architecture of systems and the optimization of XVA calculations.

• Attractive compensation package and real opportunities for advancement within an international financial institution.