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Position: PhD student on the subject of “Portfolio XVA management: MVA, KVA, FVA and computational methods for financial option sensitivities”
Institution: Centrum Wiskunde & Informatica
Location: Amsterdam, North Holland, Netherlands
Duties: The PhD student will work Monte Carlo methods, improving their efficiency and accuracy, in the context of modern valuation adjustments (XVA). We will deal with specific issues regarding the option Greeks, P- and Q-measure computations. Margin Valuation Adjustment, Capital Valuation Adjustment, Counterparty Valuation Adjustment, wrong-way risk, and other relevant issues. Tailoring towards financial practice is of specific importance
Requirements: Potential candidates have a master degree in applied mathematics, statistics, quantitative finance, econometrics, or computational sciences (with specialization in computational finance). They have a strong interest in financial mathematics and they are willing to further increase their knowledge of finance, stochastics and numerical methods. Preferred qualifications for candidates include excellent grades, research talent (as proven by the master thesis), affinity with the financial world and personal ambition. Particularly good grades in Financial Mathematics, (Applied) Probability, Statistics, Machine Learning, Scientific Computing and Numerical Analysis are a strong plus. Candidates are expected to have and prove an excellent command of English, together with good academic writing and presentation skills. Curiosity-driven and flexibility to travel (and live) in different countries are imprtant aspects for the current PhD position
   
Text: PhD student (4 years) on the subject of “Portfolio XVA management: MVA, KVA, FVA and computational methods for financial option sensitivities”. Centrum Wiskunde & Informatica (CWI) has a vacancy for a talented and ambitious PhD student (4 years) on the subject of “Portfolio XVA management: MVA, KVA, FVA and computational methods for financial option sensitivities”. https://www.cwi.nl/jobs/vacancies/phd-student-4-years-on-the-subject-of-201cportfolio-xva-management-mva-kva-fva-and-computational-methods-for-financial-option-sensitivities201d https://www.cwi.nl/logo.png PhD student (4 years) on the subject of “Portfolio XVA management: MVA, KVA, FVA and computational methods for financial option sensitivities”. Centrum Wiskunde & Informatica (CWI) has a vacancy for a talented and ambitious PhD student (4 years) on the subject of “Portfolio XVA management: MVA, KVA, FVA and computational methods for financial option sensitivities”. Job description The PhD candidate will be hosted by CWI (Scientific Computing Group). The research will be carried out in the context of the H2020 EU Marie Curie Initial Training Network project named “ABC-EU-XVA”, which will provide a unique opportunity, for 6 researchers in the early stage of their careers, to perform multi-disciplinary research and gain deep insight into a variety of aspects of financial counterparty risk and their consequences, under the prestigious scheme of the Marie Curie European Industrial Doctorates (EID). The aim of the ABC-EU-XVA project is to gain deeper insight, by means of research and education, in counterparty risk, modern valuation adjustments and how to include these in the current financial mathematical models, in algorithms, software, (big) data. The PhD candidate will join the ABC-EU-XVA community, and take part in the ABC-EU-XVA events in Europe. The PhD student, under the supervision of Prof. dr.ir. Cornelis W. Oosterlee (Full Professor, CWI/TU Delft), will work Monte Carlo methods, improving their efficiency and accuracy, in the context of modern valuation adjustments (XVA). We will deal with specific issues regarding the option Greeks, P- and Q-measure computations. Margin Valuation Adjustment, Capital Valuation Adjustment, Counterparty Valuation Adjustment, wrong-way risk, and other relevant issues. Tailoring towards financial practice is of specific importance. In an EID project a close cooperation with the industry is mandatory, therefore a foreign stay of 18 months with the industrial partner is expected and prescribed. For the current vacancy, the industrial partner is Belfius Bank ( https://www.belfius.com/EN/index.aspx ) with headquarters in Brussels (Belgium). It is expected that the PhD student will work closely together with the industrial partner, and in particular with the team directed by Dr. Paul Koerber, Head of Market Model Validation at Belfius Bank, and industrial supervisor. This is a four years PhD position, where the first three years are in the context of the EU project and the final PhD year is at Delft University of Technology. At the end of the first year, the PhD student will be formally evaluated, to assess her/his ability of obtaining the PhD. The PhD title will be granted by Delft University of Technology in the Netherlands, upon a positive final defense of the PhD thesis. Requirements Potential candidates have a master degree in applied mathematics, statistics, quantitative finance, econometrics, or computational sciences (with specialization in computational finance). They have a strong interest in financial mathematics and they are willing to further increase their knowledge of finance, stochastics and numerical methods. Preferred qualifications for candidates include excellent grades, research talent (as proven by the master thesis), affinity with the financial world and personal ambition. Particularly good grades in Financial Mathematics, (Applied) Probability, Statistics, Machine Learning, Scientific Computing and Numerical Analysis are a strong plus. Candidates are expected to have and prove an excellent command of English, together with good academic writing and presentation skills. Curiosity-driven and flexibility to travel (and live) in different countries are imprtant aspects for the current PhD position. Important: Mobility rule Because of the mobility requirement of any Marie Curie ITN grant, the potential candidates shall not have resided or carried out their main activity (work, studies, etc.) in the Netherlands for more than 12 months in the last 3 years. Compulsory national service and/or short stays such as holidays are not taken into account. Terms and conditions for the PhD Student The terms of employment are in accordance with the Dutch Collective Labour Agreement for Research Centres ("CAO-onderzoeksinstellingen"). The PhD student will be formally employed by CWI with a full social security coverage, and s/he will have all the benefits provided for in the Marie Curie ITN fellowships regulations, including a highly competitive remuneration, living allowances and mobility expenses. As an Early Stage Researcher, the applicant will register for a PhD at the Faculty of Electrical Engineering, Mathematics and Computer Science (EEMCS) of TU Delft, and in particular in the Delft Institute of Applied Mathematics (DIAM). Application Applications can be sent before January 15 2019 to apply@cwi.nl and cc to C.W.Oosterlee@cwi.nl Applications should include a detailed CV, a motivation letter, a list of MSc courses and grades (transcripts), a copy of the master thesis, and if available a list of publications. For residents outside the EER-area, a TOEFL English language test may be required. For more information about the vacancy, please contact Prof. Oosterlee. For more information about the project and its vacancies: http://fineng.ewi.tudelft.nl/ABCXVA/Applications/ About CWI Centrum Wiskunde & Informatica (CWI) is the Dutch national research institute for mathematics and computer science and is part of the Institutes Organisation of NWO . The mission of CWI is to conduct pioneering research in mathematics and computer science, generating new knowledge in these fields and conveying it to trade, industry, and society at large. CWI is an internationally oriented institute, with 160 scientists from approximately 27 countries. The facilities are first-rate and include excellent IT support, career planning, training, and courses. CWI is located at Science Park Amsterdam that is presently developing into a major location of research in the natural sciences in The Netherlands, housing the sciences of the University of Amsterdam and of the Vrije Universiteit as well as several other national research institutes next to CWI. For more information, visit: www.cwi.nl About Belfius Bank Belfius is a Belgian bank-insurer with deep local roots. All decisions are managed in Belgium, which makes a direct re-injection in the economy possible. This state has resulted in EUR 61 billion in long term investments these past five years. In addition to the proximity model for private customers, Belfius provides extensive and ever increasing support for self-employed persons, members of the professions, and small and large businesses. The bank strives for sustainability in their investment policy, business relations and in the management of their own buildings and mobility. Belfius is also a leader in mobile banking, whose apps consistently receive the best ratings in Belgium. For more information, visit: https://www.belfius.com/EN/index.aspx
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