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The candidate will join the XVACCR, Collateral & Credit Quantitative Research team—an innovative group at the forefront of quantitative modelling for XVA, Counterparty Risk, Collateral, and Credit. This dynamic team is tasked with developing cutting-edge solutions that support a wide range of strategic and regulatory initiatives across the bank.
Job Responsibility:
Define and implement mathematical tools and pricing models for XVA-linked activity
Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM …)
Interact and support Front Office, Risk Management and IT partners
Requirements:
Bachelor Degree / BSc Degree or equivalent
Computer Science or Engineering or equivalent experience
High programming skills (C++, SQL, C#, VBA …)
Good knowledge of numerical methods such as: Monte Carlo, Optimization algorithms
Quantitative finance modelling skills: Stochastic calculus for XVA, IR, FX, Credit
Recent experience and strengths in: 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, can devise and implement multiple solutions
Good communication skills - both verbal and written