Senior CVA Quant – IMM – Interest Rates and FX
- Amsterdam, Noord-Holland, Netherlands
- Contract, Full time
- People in Computers (PiC)
- 03 Aug 16
Long term contract for a strong Senior IMM / CVA Quant – initially for 12 months with potential of at least 18 months for this assignment.
Our International Investment Banking client is currently looking for a Senior Quant to work within their Counterparty Credit Risk and the Market Risk Trading departments. Long term contract for a strong Senior IMM / CVA Quant – initially for 12 months with potential of at least 18 months for this assignment. The Quant teams are global and made up quantitative expertise required to model and risk manage complex derivatives. The main tasks of the team are in the area of pricing model validation, risk modelling and methodologies, and quantitative development.
You will be a part of a highly professional team but with your own responsibilities. You will analyze and develop state of the art quantitative models for pricing and simulation of derivatives. This position is key and your work will be essential for the success of this important project.
Participate in the analysis and development of credit and trading exposure models and risk methodologies, with special focus on risk models in the context of an IMM for CCR.
- Act as an SME / specialist within the team regarding pricing model validation in product areas such as CVA, equity derivatives, fixed income derivatives, foreign exchange derivatives and credit derivatives
- -Work with counterpart quantitative analysts who develop the pricing models that our department validates.
- -Help in the development and assessment of benchmark models that can be used for model validation.
- Maintain tools, programming libraries and test environments that are set up to support the model validation process and the risk methods in the trading risk systems.
- Write validation reports providing a quantitative assessment and documentation of the tests performed.
- Perform quantitative analysis on market data and risk functionality (such as VaR, Expected Shortfall, or sensitivity reports).
- Give general quantitative support to risk managers in their specialist area.
Excellent analytical skills, with a specialisation in quantitative finance and risk modelling:
- A university degree (PhD or MSc) in a quantitative field (Financial Mathematics, Econometrics, Mathematics, Physics or Engineering);
- Excellent CVA knowledge and experience, with good knowledge of IMM
- Key areas would be Interest rates, FX and Credit (CDS)
- Knowledge of option pricing and stochastic calculus;
- C++ and/or Matlab – potentially other Quantitative programming languages
- Fluency and excellent writing skills in English
Please apply ASAP, interviews will start next week.