C++ XVA Developer
Core
Build and maintain XVA (X-Value Adjustment) simulations, applications, and tools for Credit Risk analysis within the Sales & Trading Team.
Role type
Senior C++ XVA Developer
Builds
XVA simulation applications and tools for Credit Risk analysis
Domain
Financial Services / Quantitative Finance / XVA (CVA, DVA, FVA, KVA, MVA)
Deliverable
production ML models
Required skills
C++, Python, C#, Mathematical Finance, Interest Rate Derivatives, Credit Risk, System Architecture, Message/Data Transfer, High Availability Architectures
Preferred skills
XVA family experience (CVA, DVA, FVA, KVA, MVA), Agile/Scrum/DevOps, Vendor Management
Technologies
C++, Python, C#
Responsibilities
Compile business requirements into technical specifications, support in-house and external software solutions for daily XVA analysis, troubleshoot production environment issues, assist with Credit Risk analysis enquiries, improve software performance and operational efficiency, provide technical support for development environment and architecture.
Seniority
Senior, hands-on IC