The target of this transition to Risk-Free Rates (RFR) set to end of 2021 is to create new products and models as well as a major rethink of the current ones.
In this context, our client (Head of XVA, Regulatory Capital, Counterparty risk, IRC & Credit Risk Modelling) is currently leading the validation of Risk-CVA models, developed by the Front Office XVA Quantitative desk. In this perspective, Quanteam UK is hiring a Quantitative Analyst, to join this Risk-Model Validation Quant Team, sitting within Counterparty and Credit Risk function, aligned with cross asset Quantitative Team.
These risk models are written in C++ and the validation work is done in Python.
● A solid quantitative background – MSc or PhD in Mathematics, Physics or other quantitative discipline will be highly appreciated
● Practical mathematical programming experience in Python
● 7+ years of Practical Quantitative Experience.
● XVA, CVA & Front Office background