R&D Quantitative Solutions Engineer

About the role

Join the Applied Research and Development department to help rationalize and streamline a cross‑asset pricing library, monitor model implementations, and support XVA trading desks. You will work closely with traders, modelers, and risk teams to ensure efficient and accurate credit risk management.

Key responsibilities

• Refactor, optimize, and consolidate pricing libraries for efficiency, scalability, and maintainability.
• Enhance documentation and implement best software‑engineering practices for quantitative finance.
• Respond to valuation risks, improve model documentation, and ensure compliance with regulatory and internal standards.
• Provide day‑to‑day quantitative support to the XVA desk, including real‑time troubleshooting and development of tools for credit exposure management.

Required profile

• Advanced degree in Quantitative Finance, Mathematics, Computer Science or related field.
• Strong programming skills in object‑oriented languages such as C# and Python.
• Knowledge of financial derivatives, XVA adjustments (CVA, DVA, FVA) and credit risk management.
• Experience with pricing library development, refactoring, and model validation in a quantitative finance setting.

Required skills

• C#
• Python
• Object‑oriented programming