XVA Quant Analyst / Dev (VP), London XVA Quant Analyst / Dev (VP), London …

Millar Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 01 Apr 20
£140k base, plus Front Office Bonus & Benefits
Millar Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 01 Apr 20
£140k base, plus Front Office Bonus & Benefits
A world leading Investment Bank seeks to hire a VP Quant Analyst Dev to join their growing XVA trading business in London. With a background in XVA or Interest Rates preferred, you will support the XVA trading desk, work on trading tools, as well as design and develop new features for the XVA engine. The team is based on the London trading floor & supports the trading and risk functions of several Desks via applications that run on traders’ desktops, compute grids and external cloud compute fabrics. Excellent opportunity to join a growing institution and work on exciting leading-edge projects!

Front Office XVA Quant Analytics, (C++ or C#)

KEY RESPONSIBILITIES:

  • Support the XVA Trading Desk 
  • Support the XVA engine, trading tools and systems
  • Design and develop new features in the XVA engine
  • Data preparation and documentation

SKILLS & EXPERIENCE:

  • 5 yrs+ front office quant analytics experience
  • Significant XVA experience in a Front Office role 
  • Significant Rates experience a Front Office role
  • Advanced programming skills in C++ or C#
  • Good mathematical finance knowledge, particularly around Rates or Credit models
  • Understanding of derivative contract terms: CSA terms, MA terms, SwapAgent, etc.
  • Familiar with recent Capital Regulations
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