XVA Risk Quant

Risk Quantitative Analyst | Commodities XVA & Capital Modelling | Geneva, Switzerland

Industry: Trading

Location: Geneva, fulltime in office

Job Type: Permanent

Cititec are partnered with a leading commodities trading firm seeking a Risk Quantitative Analyst to join their Geneva-based team. This role focuses on the development and implementation of XVA and capital models, supporting front office and risk functions with advanced quantitative analytics.

Key Responsibilities

• Develop, enhance, and maintain XVA models (CVA, DVA, FVA, etc.) across commodities portfolios
• Design and implement capital models to support regulatory and internal risk frameworks
• Build robust quantitative libraries and analytics tools for pricing, exposure, and risk measurement
• Deliver production-grade code for integration into trading and risk systems
• Conduct advanced quantitative analysis on counterparty credit risk and working capital usage
• Collaborate with traders, structurers, and risk managers to support deal pricing and portfolio optimization
• Improve model performance, scalability, and computational efficiency
• Contribute to model validation, documentation, and governance processes
• Support working capital risk analytics, including liquidity usage and funding considerations

Required Skills & Experience

• Strong experience in XVA modelling (CVA, DVA, FVA; knowledge of KVA/MVA a plus)
• Proven background in a quantitative role within commodities or financial markets
• Excellent programming skills in Python (essential)
• Strong experience with C++ (preferred) for performance-critical systems
• Experience writing production-quality, scalable code
• Strong foundation in: Stochastic calculus, Derivatives pricing, Numerical methods (Monte Carlo, PDEs, etc.)
• Experience working with large datasets and distributed computing environments
• Strong analytical mindset with attention to detail
• Advanced degree (MSc/PhD) in Mathematics, Physics, Engineering, or related field

Preferred Qualifications

• Experience in physical commodities trading environments (energy, metals, or agriculture)
• Familiarity with working capital and liquidity risk in trading businesses
• Experience with model validation or quantitative risk governance