Snr XVA Quant Analyst

2 weeks ago


London, United Kingdom Top-Tier Global Investment Bank Full time

Front Office XVA Quant Analytics, Cross Asset, Global Libraries, C# or C++

This leading Investment Bank seeks to hire an experienced Quant Analyst (VP) to join their XVA trading business in London. With a quant background in either XVA, Interest Rates, or FX, you will support the XVA trading desk, work on trading tools, as well as design and develop new features for the global XVA Library. The team is based on the London trading floor & supports the trading and risk functions of several Desks via applications that run on traders’ desktops and in the Cloud. This is an excellent opportunity to join a growing institution and work on leading-edge projects and modelling.

KEY RESPONSIBILITIES:

  • Develop XVA models, tools and features in the XVA Library
  • Support XVA Traders, Product Control, Model Validation and IT
  • Extend the XVA pricing system and BAU from batch, trader-tools intra-day systems
  • Communicate with multiple stakeholders to deliver XVA systems

SKILLS & EXPERIENCE:

  • 5 years'+ analytics experience in XVA or Rates or FX gained in FO, Model Val or Risk IT
  • Advanced programming skills in C# (preferred) or C++
  • Excellent derivatives understanding, particularly in Rates, or FX models, & hedging
  • Familiar with Capital Regulations
  • Stochastic calculus, e.g. brownian motion; algorithm complexity; CVA estimates
  • PhD or MSc in a hard science or engineering discipline. #J-18808-Ljbffr

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