CVA Model Validation Quant

  • Competitive base + front office bonus + benefits
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 12 Dec 17 2017-12-12

A fantastic opportunity to join a respected European Investment Bank, as it seeks to support its XVA Trading desk in London. Reporting to the Head of Market Risk Analytics, you will be responsible for the independent Validation of all pricing models used for the CVA Desk.

KEY RESPONSIBILITIES:

  • Validation of Model developed by Front Office Research
  • Validation of all pricing models for the CVA Desk
  • Develop the internal pricing Library (C++)
  • Implement alternative pricing models, study model risk
  • Get involved in all products implementation (pricing, risk measurement…)
  • Participate in the specification and implementation of the hold-back reserves / provisioning methodologies
  • Provide quantitative support for Risk Management and issues such as: P&L, sensitivities, VaR/SVaR & stresses

ESSENTIAL SKILLS & EXPERIENCE:

  • Educated to degree level, with a PhD in a quantitative subject a plus
  • Experience in dealing with exotic derivatives and CVA
  • Experience in developing a pricing Library especially for interest rates pricing models
  • Knowledge of other XVA (FVA…)
  • Good C++ programming.
  • Excellent communication skills for coordinating with other areas of the business
  • Competency in a second language is advantageous