Job Description

The XVA Quant will be integrated into the XVACCR, Collateral & Credit Quantitative Research division. The core objective of this unit is to architect advanced mathematical models and deploy pioneering solutions for XVA, Counterparty Credit Risk (CCR), Collateral, and Credit instruments. This senior-level position involves constant engagement with a diverse array of internal departments:

XVA and Scarce Resources Desk: Providing essential pricing and modeling support.
Risk Department: Managing Internal & Regulatory CCR, Accounting XVA, and SIMM.
Collateral Desk: Focusing on discounting, SIMM, and Initial Margin Value Adjustment (IMVA) with Central Counterparties (CCPs).
Trading & Risk Management: Delivering analytics for credit derivatives.

The team operates at the intersection of high-level mathematics and strategic business operations, evaluating model performance and leading high-profile XVA and RWA initiatives. You will utilize sophisticated techniques such as Sensitivities with AAD and Machine Learning to ensure compliance with evolving regulatory landscapes (including SA-CCR, FRTB-CVA, and XVA-VaR ). Additionally, the role involves the continuous modernization of XVA libraries and the development of collateral management platforms to support Front Office and Risk system migrations.

Core Responsibilities:

Engineer and deploy mathematical tools and pricing frameworks for collateral management (specifically IMVA-CCP and SIMM).
Architect and implement specialized models for XVA-linked financial activities.
Act as a technical liaison for Trading, Risk Policy Committee (RPC), and IT stakeholders.

Essential Requirements:

Superior Programming Mastery: Expertise in C++, SQL, C#, and VBA.
Mathematical Proficiency: Deep understanding of numerical methods, including Monte Carlo simulations and optimization algorithms.
Technical Depth: Significant experience in distributed computing, multi-threading, and inter-process communication.
Software Ecosystem: Familiarity with Microsoft development tools (VC++, VBA), database systems (SQL, Access, Oracle), and web technologies (XML, XSLT).
Sector Expertise: Direct previous experience in XVA and/or RWA (Risk-Weighted Assets) optimization.
Soft Skills: Highly self-motivated with strong analytical, problem-solving, and communication capabilities.

Job Data Table

Category	Details
Company Name	Quanteam UK
Location	London, United Kingdom
Locality	London (Financial District)
Country	United Kingdom
City	London
Region	Europe
Job Type	Full-time
Salaries	£48,000 – £72,000 a year
Experience Level	Senior Associate / AVP
Travel	Minimal
Language	English
Benefits	Learning allowance, inclusive workplace, high-impact consulting projects

Skills & Competency Table

Key Skill	Level
C++ & C# Programming	Expert
XVA & CCR Modeling	Expert
Monte Carlo & Numerical Methods	Expert
SIMM & IMVA Frameworks	Advanced
Adjoint Algorithmic Differentiation (AAD)	Advanced
Distributed Computing	Advanced

Salaries Pay Calculator Table

Annual Salary	Bonus (Est.)	Total Compensation	Notes
£48,000	£7,000	£55,000	Entry-point for Senior Associate grade.
£60,000	£12,000	£72,000	Median for AVP level quants in London consulting.
£72,000	£18,000+	£90,000+	Upper-tier for candidates with deep AAD/XVA expertise.

Job Summary

This London-based AVP role at Quanteam focuses on XVA, Credit, and Collateral quantitative research. You will build C++ pricing models and optimization modules to handle regulatory metrics like FRTB-CVA and SA-CCR. Requires strong programming skills, numerical method expertise, and experience in XVA/RWA optimization for major banking clients.

5 FAQs

What is the focus of the “Scarce Resources” desk? This desk manages capital, liquidity, and funding costs associated with derivatives (XVA).
Which regulatory frameworks will I work with? You will primarily work with SA-CCR, FRTB-CVA, and XVA-VaR.
What specific programming language is prioritized? C++ is highly prioritized, alongside C#, SQL, and VBA.
Does this role involve machine learning? Yes, the team uses Machine Learning and AAD for sensitivity and optimization modules.
Who are the primary internal clients? The XVA desk, Risk department, Collateral desk, and Trading teams.

Expert Analysis

In 2026, XVA desks are shifting from “cost calculation” to “Resource Optimization.” For a Senior Associate, mastering AAD (Adjoint Algorithmic Differentiation) is non-negotiable for real-time risk sensitivities. As FRTB-CVA standards tighten, the ability to build scalable C++ libraries that integrate with Cloud-native distributed computing will be your most valuable asset.

Location & Logistics Guide

Located in London, the global hub for quantitative finance, Quanteam provides a high-density environment for consulting. The role is based in the City, offering proximity to major investment banks. London’s advanced transit (Elizabeth Line, Underground) facilitates easy access for hybrid working and client on-site visits. Wikipedia URL:https://en.wikipedia.org/wiki/London

Career Path

An AVP-level XVA Quant can progress to Vice President (VP) or Director of Quantitative Research . Specializing in RWA optimization often leads to high-level roles in Capital Management or Strategic Risk Consulting , while technical paths can lead to becoming a Chief Quantitative Architect for major financial institutions.

To apply for this job please visit talents.studysmarter.co.uk.