XVA/CCR Quantitative Developer (C++)

the development and continuous upgrade of XVA libraries and platforms within an optimised architecture. Interacting with and supporting Trading, Risk and IT partners across the business. Technical Competence Strong C++ programming skills, with the ability to design and implement robust, high-performance quantitative libraries. Good working knowledge of SQL, C# and VBA. Sound understanding of numerical methods, including Monte Carlo simulation and optimisation algorithms. Experience of, or strong interest in, distributed computing and inter-process communication. Experience of multi-threaded programming. Familiarity with Microsoft development tools and environments, including Visual C++, Office and VBA. Working knowledge of database technologies, including SQL, Access and Oracle. Familiarity with web technologies such as XML and XSLT. An understanding of XVA, Counterparty Credit Risk or Collateral concepts would be advantageous, though not essential. Behavioural Competence Strong team orientation, combined with the ability to work independently and a high degree of self-motivation. Able to adapt and learn new technologies quickly. Results and time oriented. Excellent analytical and problem-solving abilities. Creative, with the ability to devise and implement multiple solutions. Good communication skills, both verbal and written. #J-18808-Ljbffr

Who We Are Looking For Quanteam UK are seeking an XVA/CCR Quantitative Developer with strong C++ skills to join our XVA, Counterparty Credit Risk (CCR), Collateral & Credit Quantitative Research team. The team’s mandate is to produce quantitative modelling and innovative solutions across XVA, Counterparty Risk, Collateral and Credit topics. The team works closely with a broad range of business functions, including the XVA and Scarce Resources desk for XVA pricing and modelling, the Risk department for Internal and Regulatory CCR, Accounting XVA and SIMM, the Collateral desk for discounting, SIMM and IMVA with CCPs, and Trading and Risk Management for Credit derivatives. The team plays a significant role in strategic XVA and RWA initiatives, producing computational building blocks using advanced modelling and implementation techniques to support an increasing scope of regulatory measures, including XVA VaR, SA-CCR and FRTB-CVA, alongside the metrics required to manage XVA reserves