Stage - 6 mois - Xva Quants P&L Explain F/H
Core
Develop P&L explanation approaches for XVA trading desk using existing pricing models and market data.
Role type
Quantitative Researcher (XVA P&L Explanation)
Builds
P&L explanation models and stress scenario analyses for XVA trading
Domain
Financial services, derivatives, XVA (funding, counterparty risk)
Deliverable
production ML models
Required skills
stochastic calculus, derivative pricing models, C#, Python, mathematical finance, Taylor series expansions
Preferred skills
cross-asset modeling, stress testing, scenario analysis
Technologies
C#, Python
Responsibilities
Study existing XVA pricing models and library; Implement P&L explanation approaches (e.g., Taylor formulas); Validate approaches against daily P&L variations; Extend selected approach to market stress scenarios
Seniority
Intern (6 months)