CVA/XVA Quantitative Analyst - Trading Quant
- EXC + BENS
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 30 Sep 16
My client a leading Financial Services provider and Investment Bank are looking to recruit a Counterparty Risk Trading Quant Analyst (CVA/XVA). You will join the Quantitative Analytics group which are responsible for the research, development and implementation of market leading quantitative models across all asset classes and areas (Interest Rates, Inflation, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, Market Risk, Counterparty Credit Risk, Banking Book, Asset and Liability Management and Financial Modelling).
Overall purpose of role:
• The QA-CCM team is the part of Quantitative Analytics (QA) responsible for XVA analytics, for example the Credit Valuation Adjustment (CVA) and Funding Valuation Adjustment (FVA). XVA computation is particularly challenging since it requires modelling of the whole counterparty portfolio. This cross-asset nature makes for a high-dimensionality problem which is both mathematically and computationally demanding.
• The team are embarking on a large project to upgrade our XVA analytics to handle new business and regulatory requirements. We are looking for a highly capable and motivated person to help in this challenging and exciting project.
Key Specific Accountabilities
• Develop XVA analytics in C++ which are performant, scalable, robust and extendible.
• Contribute to the design of next-generation XVA analytics and the interaction with the IT risk platform.
• Support FO and IT users of our analytics.
Stakeholder Management and Leadership
• Good project management skills; ability to work and deliver within tight deadlines.
• Strong interpersonal skills, ability to interact with traders/ IT/quants, a team player.
• Ability to work well in a fast-paced environment with changing priorities.
Decision Making and Problem Solving
• Strong quantitative and analytical skills
• Excellent problem solving skills
• Ability to work independently on loosely-defined problems
Risk and Control: All colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards
Required Skills and Qualifications:
• Strong quantitative & analytical skills: The role requires a strong quantitative modelling background based on a PhD or Master’s Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
• Track record of project delivery, encompassing the full project lifecycle from design, implementation, testing and documentation.
• Experience in delivering production quality code, including use of source control, continuous integration, unit and regression testing.
• Preferred modelling/business/IT expertise in XVA/CCR/interest rates/FX/inflation/commodities and equity.