CVA Quantative Analyst recruitment
Primary Responsibilities
- Carry out special projects related to pricing models, trades, and risk management in
- order to aid the CRT desk operations.
- Maintenance and improvement of existing pricing tools and operational framework.
- Development and implementation of miscellaneous tools to support trading and risk
- management activities.
- Support the modelling requirements of the trading staff as needed.
- Development and implementation of mathematical software for the pricing of CVA and FVA.
- Ensure that any models developed are fully and properly integrated into the quant libraries.
- Co-ordination with GMO and GRM as part of the process of submitting front office developed models for vetting and use in the bank’s risk framework.
Authorities, Impact, Risk
- Modelling and developing authority. Impacts – reputational, profitability.
- Supports the Counterparty Risk Trading businesses.
- No permissions to commit the bank.
Key Relationships
- Report to Head of SRT CVA Quants
- No direct reports.
- Key contacts: Head and members of Counterpart Risk Trading, Head and members of FIC Quant, Head and members of Structured Products Apps, GMO, GRM, Systems and IT Department.
Working Conditions
- Standard Front Office environment.
- A high attention to detail is required as the role involves the development of complex mathematical models and computer code.
- The position involves working to Front Office deadlines and in an active trading
environment and so will involve a certain level of stress.
Education /or Experience
Required
- High qualifications in mathematics or the physical sciences.
- Advanced abilities in C++ coding.
- Knowledge of derivatives and financial products, for trading, pricing and risk management.
- Knowledge of counterparty risk models.
- Knowledge of relevant applications and risk managements systems and IT.
Preferred
- Prefer postgraduate level qualifications in a highly numerate discipline such as
mathematics, physics or finance.
Competencies
Behavioural
- Tenacious and Adaptable.
- Committed team player with a flexible, enthusiastic attitude and good communication.
- Ability to apply quantitative analysis to complex financial transactions.
Technical
- Advanced numerical and analytical programming skills in C++.
- Extensive spreadsheet experience.
- Knowledge of vanilla rates derivatives and cash products and models.
- Knowledge of complex rates products and models.
- Knowledge of credit derivative products and models.
- Advanced mathematics including stochastic calculus.
July 5, 2012
• Tags: CVA Quantative Analyst recruitment, Quantitative Analytics careers in the UK • Posted in: Financial