Quantitative Analyst - XVA Pricing

Description:

My client are a leading bank looking for an experienced Quanrtitative Analyst and modeller to become an integral part of the team to build out and evolve the XVA/SIMM (Standard Initial Margin Model) and Capital pricing capabilities.

The successful Quantitative Analyst will join the Front Office Portfolio Quantitative Analytics team. The Quantitative Analysty and their team will provide pricing and exposure models, analytics and tools to traders and risk managers globally. They cover traditional XVAs and Capital e.g. CVA, FVA, IMM model for Credit RWA, together with SIMM.

Responsibilities:

* Expand, design and build out the next generation cross-asset distributed valuation and risk engine for the calculation of XVA measures, Risk, PnL, PnL Predict, SIMM, Allocation and Capital exposure, strengthening the analytics and the technical platform

* Collaborate with traders and risk managers to define and implement pricing and risk capabilities

* Deliver high-quality working software translated from business and quant driven requirements

* Partner with core IT functions to align and integrate pricing capabilities with existing pricing systems and Capital Exposure calculation engine

Requirements:

* Previous experience as a Quantitative Analyst in financial markets institution

* Strong academic background in a quantitative field (mathematics, physics, engineering, etc.)

* Knowledge of derivatives pricing and risk management in any asset class, XVA or SIMM

* Experience with programing languages (e.g. C++/C#/Python)

* An understanding of financial products and markets is preferable

* Ability to manage projects and numerous stakeholders

Job Details