XVA Analyst to Financial Engineering and Quant i Stockholm

However, this new roll is in most parts a like a Quantitative Analyst and is in the cross road of Quant, XVA trading desk and Valuation. This roll entails working with all asset classes and derivatives that LC&I uses in its daily business.

The roles is all about to make sure that Accounting Credit Value Adjustment (ACVA) is delivered daily, using verified market data. This will for the coming years need development and implementation, so that accounting quality standards are met. The position is suited for a person with quantitative background with strong programming skills, market and financial mathematical understanding. We would like at least 5 years of working experience, in relevant areas, which include many different aspects of CSA pricing and XVA.

Your tasks will vary and consist of, among other:

• Design, filtering and calibration procedures for automated filtering of data
• Develop, implement or govern simulation pricing functionality.
• Be a part of the implementation, replacing for example proxy modelling
• Be a part of the ongoing projects in the area
• Support the valuation and XVA desk in their daily work
• Be supportive of the ad hoc regulatory quiz and other type of reporting
• Develop new features for Accounting XVA that is needed form regulatory as well as business aspects
  
  

This is a challenging roll, and it will, for the right person be rewarding. You will learn about the entire trading business and how it is measured in official accounting. You will be a part of daily operations, but also the ongoing development in the AXVA area. We are therefore looking for team member that is encourage by new challenges and can deliver even if not all deliverables are specified beforehand or if the solution to the task is not well known. You will get broad spectrum of tasks over time and get a lot of experience. I expect my team members to contribute to the team spirit, by sharing experiences, helping out and take responsibility (and they all do).

The position is a permanent position.

• Interest in programming and good implementation capacity
• nderstanding of derivative products
• Methodical and accurate approach
• Sound mathematical, probabilistic or statsitical knowledge
• Personal initiative and energy
  
  

Formal requirements:

• At least a Master of Science in Mathematical Finance or Computer science with a strong finance profile
• Excellent skills in English and Swedish
• Programming experience, in C/C++, Java, Python and Matlab
• Merits: A PhD and/or experience in the area of Fixed Income and FX
  
  

Our Quant team consist currently of 13 senior members, out of which half are PhD in Mathematical Finance or similar. Our two production support teams are approximately 12 each with mathematical finance or engineering masters as background. Each member in all of our teams have big degree of own responsibility and freedom in their area of expertise, but still collaborating and learning from each other.

As a manager I believe in efficient teams, which are built on collaboration and good atmosphere (the internal surveys regarding satisfaction are high). To me, a well-functioning team delivers with better quality and faster than any individual performance.

I hold a PhD in mathematical Finance and a degree in Law, and I have a Quant career since 2000, mainly at Swedbank. During the years I have had the opportunity to work with exotic pricing, investment decisions, advising, algorithmic trading, funds, all asset classes and most recently XVA and AI.

We may begin the selection under the application period, so we welcome your application as soon as possible.

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