XVA/CCR Quantitative Developer (C++)
Core
Develop high-performance quantitative libraries and pricing models for XVA, Counterparty Credit Risk (CCR), and Collateral management to support regulatory initiatives and trading functions.
Role type
Senior IC quantitative developer (C++)
Builds
XVA libraries, platforms, and computational blocks for regulatory compliance (XVA VaR, SA-CCR, FRTB-CVA) and collateral management (IMVA-CCP, SIMM).
Domain
Financial services / Quantitative finance / Regulatory risk
Deliverable
production ML models
Required skills
C++, numerical methods (Monte Carlo, optimization), multi-threaded programming, distributed computing, SQL, C#, VBA
Preferred skills
XVA/CCR/Collateral concepts, Adjoint Algorithmic Differentiation (AAD), machine learning applications, web technologies (XML, XSLT), database technologies (Oracle, Access)
Technologies
Visual C++, SQL, Oracle, Access, XML, XSLT
Responsibilities
Define and implement quantitative tools and pricing models for Collateral management (IMVA-CCP, SIMM); Define and implement mathematical tools and pricing models for XVA-related activity; Produce computational blocks using advanced modelling techniques; Support the development and upgrade of XVA libraries and platforms; Interact with Trading, Risk, and IT partners.
Seniority
Senior, hands-on IC