Xva Quant Strat

2 weeks ago

London, United Kingdom eFinancial Careers Full time

**XVA Quant Strat - VP level**

**London based**

You will be joining a quant analytics group that is the analytics package used across all divisions of the firm for trading and the risk management of Cash and Derivatives in all asset classes of the firm including Rates, Credit, Foreign Exchange (FX), Commodities,Inflation, Corporate Finance, Money Markets, Mortgages, Hybrids, Emerging Markets (EM). Furthermore. This is used in many of their regulatory and portfolio calculations.

**Key responsibilities**:

- Responsible for optimizing the run-time Portfolio Calculations (primarily HistSim VaR and Credit Counterparty Risk). The main priority should be to lower the material hardware cost associated with these calculations. It will require profiling and optimizingboth the portfolio calculations themselves as well as the feeder pricing models.
- Responsible for the related project management and communication with key stakeholders in Strats, Trading, Market Risk and Model Validation.
- Responsible for identifying bottlenecks and potential savings in the library.
- Responsible for optimizing code and re-engineering pricing models and/or liaising with the team owning the related development.
- Responsible for documenting and testing model changes.

**Required Skills & Experience**:

- Good support and leadership skills.
- Excellent quantitative analytic, modelling, pricing and risk management skills, with experience within a financial services environment.
- Excellent computing and programming skills and experience, utilising programming languages such as Python, Matlab, R, S-Plus, C++, SQL and Oracle.
- Expertise of Derivative products gained from professional experience.
- Experience within an analytics software firm or investment bank developing derivative pricing models.

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