XVA Front Office Quantitative Analyst
In a British Investment Bank, our XVA SME consultant will join the Front office XVA Quantitative Research team.
Two projects are currently led by the team, requiring some extra efforts around:
MVA Project: the implementation of MVA (margin valuation adjustment) within the XVA library, to calculate the lifetime cost of initial margin within the context of the SIMM regulations. The XVA library is cross-asset, written in CUDA and C++.
PFE Project: Work on the development of the PFE engine within the XVA library. The XVA library is cross-asset, written in CUDA and C++.
A previous experience in XVA Quantitative teams is mandatory, to be able to bring on board a real expertise and added value. Also, solid C++ programming skills are essential for this project. A first exposure or experience in CUDA is highly appreciated, and will be a real plus for the good delivery of the project.