- Company Name
- Quanteam UK
- Job Title
- Quantitative Analyst (Senior Associate / AVP)
- Job Description
-
**Job Title**
Quantitative Analyst – Senior Associate / AVP
**Role Summary**
Provide advanced quantitative modelling, pricing, and optimization for XVA, counterparty risk, collateral management, and credit. Design and implement computational blocks, libraries, and platforms that support regulatory changes (XVAVaR, SACCR, FRTB‑CVA, RWA) and enhance internal risk and trading systems. Work cross‑functionally with XVA desks, risk, collateral, and trading teams to evaluate model performance and deliver production-ready tools.
**Expectations**
- Deliver rigorous, validated XVA and collateral models that meet internal and regulatory standards.
- Ensure timely integration of new regulatory requirements into existing libraries.
- Communicate results clearly to non‑technical stakeholders and ask insightful questions.
- Maintain high code quality, documentation, and test coverage.
- Demonstrate self‑motivation and the ability to work autonomously while collaborating within teams.
**Key Responsibilities**
- Build and maintain pricing models for IMVA‑CCP, SIMM, and other collateral frameworks.
- Develop XVA‑linked tools (XVA pricing, back‑testing, sensitivity analysis, AAD).
- Optimize risk‑related metrics and RWA calculations using multi‑threading, distributed computing, and advanced numerical methods.
- Support migration and upgrade projects for trading, risk, and front‑office systems.
- Contribute to the development of the collateral management platform for CCP and EMIR initial margin.
- Produce optimization modules and machine‑learning enhancements for XVA and risk processes.
**Required Skills**
- Programming (C++, C#, VBA) and SQL; experience with Microsoft Office and Visual C++.
- Proficiency in numerical methods: Monte Carlo simulation, optimization algorithms, AAD.
- Experience with distributed computing, inter‑process communication, and multi‑threading.
- Knowledge of web technologies: XML, XSLT; database systems: Access, Oracle.
- Strong analytical, problem‑solving, and creative thinking.
- Excellent verbal and written communication; effective collaboration across departments.
- Self‑motivated, results‑oriented, and able to adopt new technologies swiftly.
- Proven experience in XVA modelling and/or RWA optimisation.
**Required Education & Certifications**
- Bachelor’s or Master’s degree in Mathematics, Statistics, Financial Engineering, Applied Physics, or related quantitative field.
- Advanced qualification (e.g., CFA, FRM, or equivalent) is desirable but not mandatory.
- Continuous professional development in quantitative finance and risk modelling is expected.