CVA Quants

  • $130k - 160k per year
  • New York, NY, USA
  • Permanent, Full time
  • GQR Global Markets
  • 07 Sep 16

We are looking for someone with excellent pricing analytics across most asset classes in the context of counterparty risk. This growing group has a unique presence within the market and we are looking for an outstanding candidate.

Senior Derivatives Quant – New York

Senior Counterparty CVA Quant Analyst  -  Front Office Credit Value Adjustment Quantitative Pricing Modeling   -        CVA Cross Asset Counterparty Portfolio level  -   Leading financial institution  –   New York, USA.                       

SALARY RANGE OR SPECIFIED NUMBER + BONUS

Up to $160,000 base (DOE) + extremely competitive bonus

JOB DESCRIPTION:
Calling all driven & technical Quant Analysts! Our client is looking for a candidate who has the unique quant/technology background.  We are looking for someone with excellent pricing analytics across most asset classes in the context of counterparty risk. This growing group has a unique presence within the market and we are looking for an outstanding candidate.


Location:  NY, USA


The role:

  • Develop, price and model credit value adjustments (CVA) front office pricing models.
  • As part of the counterparty risk team, you will build out of a new generation of portfolio models.
  • Support this cross-asset quantitative pricing library CVA expansion.
  • Implementation of multi-factor American Monte Carlo simulation engines
  • As an experienced hire this involves leading projects and potentially in time taking on growing leadership responsibilities.

Requirements:

  • Excellent pricing skills and modeling abilities within a leading sell side quant team.
  • Strong stochastic calculus, derivatives and C++/Python object oriented level programming.
  • Excellent financial mathematics (Brownian motion, PDE, probability).
  • Knowledge of Internal Model Method process, Libor Market Model and credit models
  • Academic track record with an MSc/PhD with a quant degree i.e. applied math or applied physics etc.

In return they are offering:

  • A huge opportunity to attain significant progression in a team lead role building out a new business.
  • Exciting CVA market exposure in one of the few growing quantitative markets.
  • A large number of evolving modeling projects to get your teeth stuck into.
  • High Reward - exceptional Remuneration Structure.

This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.

Confidentiality and utmost discretion is 100% assured.

Key Words:  American monte carlo engine, counterparty risk, cva models, cva quant analytics, credit value adjustment, stochastic calculus, derivatives pricing, Internal Model Method, applied physics, front office quant pricing, portfolio models, cross asset quant team, PDE, probability, Brownian motion, VP Quant, SVP Quant