Collateral &XVA

About the Role

We are looking for a talented and driven Quantitative Analyst to join our Quantitative Research team, supporting our Credit Derivatives, CVA & Scarce Resources Management, and Collateral Management functions. This is a Vice President-level position offering the opportunity to work at the forefront of financial modelling and pricing innovation.

You will play a key role in defining and implementing cutting-edge mathematical tools and pricing models, working closely with trading, structuring, and risk teams in a fast-paced, collaborative environment. What You'll Be Doing Designing and implementing mathematical tools and pricing models for Collateral Management activities, including IMVA-CCP and COLVA Developing and maintaining XVA-linked pricing models and methodologies Providing responsive technical support to library users across the business Translating trading and structuring needs into robust model implementations within the QR library Driving innovation in models and numerical pricing techniques Supporting local trading desks with quantitative expertise What We're Looking For Master's degree in Computer Science, Engineering, or a related quantitative discipline Previous experience in XVA and/or Credit derivatives Strong programming skills across multiple languages and technologies Technical Skills Proficiency in C++, C#, VB, SQL, and Java Experience with VBA, VC++, and Microsoft Office tools Knowledge of XLL and COM technologies Familiarity with XML and XSLT Experience with Orchestrade and/or Callisto is advantageou The Kind of Person You Are A creative problem-solver with excellent analytical abilities Highly autonomous, with the ability to manage your own workload and priorities A strong team player who communicates clearly with both technical and non-technical stakeholders Reactive and adaptable in a dynamic trading environment