R&D Quantitative Solutions Engineer

Job description

Vos missions au quotidien Within ARD (Applied Research and Development) department, we are seeking a highly skilled and mission-driven Quantitative Solutions Engineer to join our dynamic and fresh quants team. The primary mission of the team is to rationalize and streamline our shared pricing cross asset library code, monitor and test our implemented models offer (Equity, Forex, Rate, Inflation and Hybrids) and provide critical support to the XVA trading desks.

This role plays a pivotal part in helping manage credit risk by ensuring our systems and models operate efficiently and accurately. The ideal candidate will have a strong quantitative background, expertise in financial derivatives and risk management, and experience with complex pricing libraries. You will collaborate with traders, expert modelers, and risk teams to enhance our ability to price and manage risk across a wide range of financial instruments.

Key Responsibilities

• Pricing Library Rationalization
• Refactor, optimize, and consolidate existing pricing libraries to ensure efficiency, scalability, and maintainability.
• Implement best practices in software engineering for quantitative finance, focusing on code clarity, performance, and modularity.
• Enhance documentation of pricing libraries to ensure ease of usability and knowledge sharing across teams.
• Valuation Risk Implementation
• Respond to valuation risks of a wide range of payoffs and enhance models’ documentation with well-reasoned explanations and recommended actions regarding model use and pricing methodologies.
• Collaborate closely with model validation teams to ensure that model documentation and implementation adhere to regulatory and internal standards.
• Implement and test models that are aligned with trading needs, risk management, and regulatory requirements.
• XVA Desk Support
• Provide day-to-day quantitative support to the XVA trading desk, including real-time troubleshooting of pricing and risk issues.
• Ensure accurate and efficient credit, funding, and collateral risk calculations in pricing and risk management processes.
• Assist in the development of tools for the XVA trading desk to improve the management of credit exposure and optimize counterparty risk.