XVA Quantitative Analyst - Director

Recruiter
ITS City Ltd
Location
London (Greater)
Posted
12 Oct 2018
Closes
17 Oct 2018
Sector
Accountancy
Contract Type
Permanent
Hours
Full Time
Join this leading Global Investment Bank in a World Class XVA Quant Analytics Team. CVA Quant Analyst required at this leading Investment Bank. You require 8+ years OTC Derivative Pricing experience in one or more Asset Classes, either IR, FX, Credit, EQ Inflation, Commodities etc.Ideally you will have already worked in the Front Office on large scale projects Development of high performance, distributed hybrid Monte Carlo platform in C++ and CUDA C (for GPU) You will be responsible for development and implementation of Complex CVA Credit Value Adjustment Models, working with traders in pricing CVA for exotic derivatives and vanilla products. You will gain extensive exposure to complicated Models, utilising your knowledge on Stochastic Calculus You possess excellent C++ programming skills. In addition you will work on PFE Engine implementation, using calculations in Potential Future Exposures to Counterpartys. Academically strong, preferably possessing a PhD in a Quantitative or Scientific Discipline or equivalent qualification. All applicants must have proficient English speaking communication skills and good interpersonal skills. You will interact closely with Credit Officers, Risk Analytics and Model Validation. You will work on Machine Learning Projects in a cutting edge & dynamic environment. My client is recruiting upto Director and will consider Model Validation Quants wit exceptional XVA experience. . Contact - Ben Baxter Tel - 0203 176 6647 email - ben@its-city.com

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