CVA Quant Analyst | NYC
Top Investment Bank is seeking an AVP/VP Front Office CVA team in New York who mostly cover the FI space.
Responsibilities:
- Working closely with the traders on a day to day basis, this team has a very large trading desk to support and you will be sitting on the desk working directly with the traders every day.
-Creating pricing models and develpoing/improving them.
-Stress testing current models and identifying any potential risks that might affect the trading products.
-Team will be involved in designing and building specific platform for which many exposure models can be easily applied. Prototypes will be implemented using both VBA and C++. These platforms will be implemented across the firm for a number of business functions, so recognition is a fundamental asset to this role.
Ideal background of the successful candidate:
-Experience in CVA. Candidates MUST have exposure with CVA in front office or model validation
-Excellent C++ skills knowledge in C#, Java, Matlab and VBA.
-Strong academic background with a PhD/Msc in highly quantitative field
-Mathematical Modelling ability: Stochastic Calculus, PDE’s, Stochastic Volatility, Local Volatility etc.
Please apply into the below link
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