XVA Quantitative Analyst - £550 - London XVA Quantitative Analyst - £550 - London …

Twenty Recruitment Group
à Londres, Angleterre, Royaume-Uni
Intérim, Plein-temps
Dernière candidature, 26 oct. 20
£550 Per Day
Twenty Recruitment Group
à Londres, Angleterre, Royaume-Uni
Intérim, Plein-temps
Dernière candidature, 26 oct. 20
£550 Per Day
Diffusée par:
Oliver Parker • Recruiter
Diffusée par:
Oliver Parker
Recruiter
A major financial services company are currently looking a Quantitative Analyst covering XVA trading, BEAM and IBOR.

Skills 

·Development and configuration of risk views as required by trading desks or middle office.

·Analysis of change of valuation model on valuation, sensitivities and P&L attribution.

·Supporting model validators and other members of the middle office.

·Model analysis and improvement (calibration, risk stability, market data …).

Work Experience:

5yr experience in front office or model validation

Essential:

Functional / Technical Competencies:

·Experience in contribution to valuation model used for official accounting PV.

·Solid knowledge of pricing of vanilla interest rate products.

·Good understanding of sensitivities and P&L attributon.

·Advanced development skills (C# or C++).

Work Experience:

·5yr experience in front office or model validation.

Education / Qualifications:

·MSc or PhD in relevant area.

Very good to have:

·Good mathematical and financial modelling skills in rates e.g. understanding of HW, local and stochastic vol models.

·Good knowledge in numerical methods and Monte Carlo valuation (e.g. variance reduction techniques, greeks computation…)

·Good understanding of curve construction and impact of different choices on valuation and risk.

·Knowledge in regulation.

Twenty Recruitment Group logo
Offres similaires
Plus d'offres
Close
Loading...
Loading...