Job Description
Job description
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 sev...
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