Quant XVA



The candidate will be sitting within the XVACCR, Collateral & Credit Quantitative Research. 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 …) and metrics needed to manage our XVA reserves properly. 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.

Key Responsibilities

· Efficiency and accuracy of developments

· Reactivity in the function of supporting library users

· Innovation in models and numerical pricing techniques

· Trading, RPC and IT partners support

· Models, methods, products implementation in the QR library/tools Legal and Regulatory Responsibilities Ensure adherence with regard to internal CA-CIB compliance guidelines and governing agency rules and regulations.

Special role Requirements

· Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, … .

· Knowledge of SIMM and XVA.

· High programming skills (C++, C# , VBA, Java, SQL …).

· Recent experience and strengths in most of the following:

– Microsoft products: Office, VBA, VC++

– XLL, COM technologies

– Java, 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, can devise and implement multiple solutions

· Good communication skills – both verbal and written

Knowledge and Skills

· Qualifications/Education required : Master degree in Computer Science or Engineering or equivalent experience


· Experience required : previous experience XVA and/or Credit


· Competencies required :

1) High programming skills (SQL, VB, C++, C# …).

2) Excellent analytical and problem-solving abilities

3) Strengths in:

3.1) Office, VBA, VC++

3.2) XLL, COM technologies.

3.3) Java, SQL, Access

3.4) XML, XSLT

Skills & Knowledge Requirements

Creativity, Autonomy, and Team spirit


Poste : Quant XVA

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