Contract XVA Hybrid Quant - Inside IR35 - London

Overview

A leading financial institution is seeking an experienced XVA Hybrid Quant to join a high-visibility team. This role combines quantitative modelling and production-level software development, focusing on the valuation and risk of derivatives. The position is ideal for candidates who enjoy applying advanced mathematical techniques while building robust, scalable systems in production.

The XVA function is important, supporting the bank's risk and valuation infrastructure with high external and internal scrutiny.

Key Responsibilities

Quantitative & Modelling

• Develop and enhance XVA models, including CVA, FVA, MVA, and KVA calculations.

• Apply advanced mathematical, statistical, and numerical techniques to improve pricing and risk analytics.

• Support model validation, performance optimisation, and testing processes.

• Provide quantitative insight for risk management and valuation purposes.

Engineering & Development

• Write and maintain production-grade code in C# (or C++).

• Implement models and analytics into the bank's core XVA libraries.

• Conduct code reviews, debugging, and optimisation to ensure performance and reliability.

• Collaborate with technology teams to maintain architectural standards and scalability.

Cross-Functional Collaboration

• Work closely with quants, traders, developers, and risk teams to deliver integrated solutions.

• Contribute to high-profile regulatory and client deliverables.

• Balance research-oriented tasks with engineering implementation.

Required Skills & Experience

• Relevant degree in Mathematics, Physics, Engineering, Computer Science, Finance, or a related quantitative discipline.

• Strong understanding of derivatives pricing, stochastic calculus, and numerical methods.

• Proven ability to write production-ready code.

• Expertise in C# or C++, with familiarity in software engineering best practices.

• Experience in XVA or other counterparty risk areas is highly desirable.

• Ability to work in a technically demanding environment.

• Strong analytical, problem-solving, and communication skills.