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XVA Quantitative Analyst

Selby Jennings
Rugby
11 months 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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