The global Quant Research team at this global investment bank applies specialist methods from mathematics, science and engineering to generate revenue. They work on data, models, and algos for derivative valuation and risk, automated trading, and data-driven decision-making. They now seek a Senior Quant to research and implement financial models for product valuation, risk analysis and trading and provide quantitative expertise to traders and marketers, as well as our technology and risk teams.
You will provide modelling for Valuation adjustments (XVA), Counterparty credit risk (CCR), model governance, and improve their modelling capability. This is an outstanding opportunity to join a respected global quant research group, closely aligned with revenue.
Front office Cross-portfolio modelling for XVA & CCR
- Cross-business modelling across the front-office within Global Markets
- Collaborate with traders, risk and technology.
- Deliver modelling for XVA and assess model integrity
- Awareness of model governance best practice
- Contribute to initiatives to improve the modelling capability.
- 5 yrs+ as a Front Office Pricing Quant, with demonstrated ability to deliver
- PhD (ideally) in Maths, Physics, Computing, etc
- Cross portfolio modelling with expertise at least one area, eg. Rates or Commodities
- Knowledge of XVA & CRR modelling
- C++, Python or other programming languages
- Excellent communication skills