Quantitative Model Validation

  • Negotiable
  • London, England, United Kingdom London England GB
  • Temporary, Full time
  • Robert Walters UK
  • 28 Jun 18 2018-06-28

A rarely available Quantitative Model Validation role has become available at a highly regarded Investment Bank based in London. This role offers an opportunity for excellent career progression with a leading global Investment Bank undertaking Quantitative Analysis, XVA Pricing modelling and C++ model development in London.

A rarely available Quantitative Model Validation role has become available at a highly regarded Investment Bank based in London. This role offers an opportunity for excellent career progression with a leading global Investment Bank undertaking Quantitative Analysis, XVA Pricing modelling and C++ model development in London.

Responsibilities of the Quantitative Analyst:

  • Working in the XVA Quantitative team to help design, develop and support XVA pricing, covering CVA, FVA, MVA, KVA etc.

  • Undertaking independent review pricing models and asset allocations across the Investment Management business.

  • Undertaking C++ development work across pricing models using hybrid GPU grid in C++.

Prerequisite Requirements for the Quantitative Analyst:

  • Working knowledge of XVA model validation - end to end process of XVA calculation, covering calibration, risk factor evolution and instrument valuations.

  • Hands-on model implementation skills using C++.

  • Sound working knowledge of pricing models across major asset classes and their use in the context of XVA calculations.

This Quantitative Analyst role offers an excellent opportunity to support a rapidly expanding Investment Bank and Risk team in London. The role will offer scope to deliver key strategic and technical book of work whilst gaining opportunity to support projects and secure a long term career.

If successful further scope to extend beyond the initial contract term is viable for this team and wider business.

Should you be interested in this role and the opportunity it presents, please call me on 0207 509 8035 or email me, please be advised each applicant will be assessed against the above pre-screening criteria.