The ABC-EU-XVA project - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research

The ABC-EU-XVA project

The ABC-EU-XVA project is a European Industrial Doctorate (EID), funded within the Horizon 2020 framework.
The project aims to address significant challenges arising from the mathematical modelling of valuation adjustments (XVA), a cutting-edge topic in financial mathematics and quantitative risk management, given the new financial regulatory framework (Basel II-III, IFRS 9).

The ABC-EU-XVA project is a Marie-Curie initiative in which six Early Stage Researchers (ESRs, i.e. PhDs) will work closely with industrial partners on a PhD thesis about the mathematics of XVA.
The universities involved are: Université Libre de Bruxelles (ULB), Università degli Studi di Bologna (UNIBO), Universidade da Coruña (UDC), Delft University of Technology (TU Delft) and the Dutch National Research Institute for Mathematics and Computer Science (CWI).
The industrial partners include top international players like Belfius Bank (BE), Unipol Gruppo Spa (IT), Abanca Corporación Bancaria (ES), Banco Santander (ES), EY (NL) and Rabobank (NL).

Two positions will be based in the Netherlands at TU Delft and CWI:

ESR 1 (TU Delft – CWI – ABANCA): Detailed modelling of WWR in CVA
ESR 2 (CWI – TU Delft – Belfius Bank): Managing portfolio XVA: MVA Sensitivities, KVA under Q and P

Four positions are available in Spain, Belgium and Italy:

ESR 3 (UDC – EY): XVA in the context of PDE and hybrid modelling
ESR 4 (UDC – Unipol Gruppo Spa): XVA in a multi-currency setting
ESR 5 (ULB – Rabobank): Incremental CVA and Collateralised VA (CollVA)
ESR 6 (UNIBO – Santander): Unified model for XVA, including WWR, FTD and Rating

Potential candidates have a master degree in applied mathematics, statistics, quantitative finance, econometrics, physics or computational sciences (with specialisation 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 and flexibility to travel (and live) in different countries are important aspects for the current PhD positions.
Salary and benefits are particularly appealing.

For more details and to apply, the interested candidates may visit the project website: abc-eu-xva.info/welcome
Deadline: January 15, 2019.