CVA QUANT

  • OPEN
  • New York, NY, USA
  • Permanent, Full time
  • Integrated Management Resources
  • 14 Nov 17 2017-11-14

Top 5 Global Investment Bank is looking for an associate to junior VP level PhD quant for the CVA trading desk.

Top 5 Global Investment Bank is looking for an associate to junior VP level PhD quant for the CVA trading desk.  Individual will be developing pricing models for the bank's CVA analytical library covering multiple derivative classes including rates, FX, credit and commodities. Library is C++ based.  Individuals will be interacting with trading desk, risk, and analytics on a daily basis.  Candidates will have a PhD in a STEM discipline and 2-4 years experience creating derivative pricing models.  Must be expert level in C++.  Experience in monte carlo simulation a must.   Client will sponsor H1-B.  Please call Chad for more details.