Credit Quant – Quantitative Analyst
JOB SPECIFICATION:
- ?You will be working as a Credit Quant supporting the credit value adjustment ( CVA ) desk. The role will be assisting the CVA Trading Desk helping with the analytics.
- ?You will be expected to calculate CVA for various product groups. Currently the calculation activity is focused on Interest Rate products.
- ?You will be involved with helping with the analytics by working on a library and Monte Carlo ( MC ) simulation, this will involve using a semi-analytic solution.
- Running tests to compare the PEE ( positive expected exposures ) coming from the new approach versus the current one ( old is based on generating scenarios by Monte Carlo ) and path reduction methods for Monte Carlo using PCA
REQUIREMENTS
- A strong quantitative background ( MSc or PhD in Physics , Mathematics or similar)
- At least 3 – 5 years of direct experience working as a Quantitative Developer on CVA / Monte Carlo
- Experience calculating Pricing or Core Products using stochastic calculus and Monte Carlo simulation and primarily analytics.
To learn more about this excellent opportunity please email your CV to mandates@obtainconsulting.com
We welcome tentative applications and speculative enquiries. For market updates or to learn more about the mandates Obtain Consulting Group are currently instructed on, get in touch with our senior consultants on +44 203 290 1767.
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