XVA Quantitative Analyst

Selby Jennings

Rugby

1 year ago

Applications closed

Introduction

We are seeking a highly skilled Quantitative Analyst to join our Front Office team at a leading Tier 1 US bank, based in London, with a primary focus on XVA cross-asset models. In this VP-level role, you will collaborate directly with the trading desk and play a role in building a number of new models. As part of a dynamic team of around 10 experts, you will drive the development and enhancement of pricing models for a wide range of products, including swaps, bonds, and FX forwards.

The team are known for innovative approaches to computing XVA and are currently working on a number of machine learning -based projects. Ideally this individual will also be able to mentor and teach more junior members of the team.

Responsibilities

Develop and implement XVA and models, ensuring alignment with the global C++ analytics library.
Design and implement calculation methodologies in C++, testing and backtesting models on historical data.
Provide quantitative support to the Front Office Rates team, handling curve bootstrapping and construction for major and minor currencies.
Collaborate with trading, risk, and IT teams to explain model calculations clearly.

Requirements

Proficiency in C++ and Python, with experience in quantitative finance, numerical methods, and preferably curve bootstrapping.
Strong math skills in probability, statistics, optimization, and econometrics.
Excellent communication skills to work with global teams and explain complex models to non-technical stakeholders.
Master's or PhD in a STEM field from a top institution, with expertise in financial derivatives.

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