We are looking for a Quantitative Analyst to join our XVACCR, Collateral & Credit Quantitative Research team for an initial 7 month contract. The ideal candidate will have a strong background in quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral, and Credit topics. This role involves regular interaction with a broad scope of internal clients and requires a candidate who is highly skilled in programming and numerical methods.

• Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM, etc).
• Develop mathematical tools and pricing models for XVA-linked activity.
• Provide support and interact with Trading, RPC, and IT partners.
• Ensure adherence to internal compliance guidelines and regulatory rules.
• Participate in strategic projects and system migrations, contributing to the development of computational blocks and platforms.

• Master's degree in Computer Science, Engineering, or equivalent experience.
• High programming skills in C++, SQL, C#, VBA, and other relevant languages.
• Good knowledge of numerical methods such as Monte Carlo and optimization algorithms.
• Experience with distributed computing, inter-process communication, and multi-threading programming.
• Proficiency in Microsoft products: Office, VC++, VBA.
• Familiarity with SQL, Access, Oracle, and web technologies: XML, XSLT.
• Strong team orientation with the ability to work independently and self-motivated.
• Excellent analytical and problem-solving abilities.
• Creativity in devising and implementing solutions.
• Good communication skills, both verbal and written.

• Previous experience in XVA and/or RWA optimisation.
• Experience with Visual C++ and multi-threading programming.

To apply for the Quantitative Analyst position, please submit your CV and cover letter detailing your relevant experience and qualifications.