CVA Quants to join Tier 1 Bnak recruitment
Qualifications / Skills Required:
The successful candidate will be required to develop models for CVA / FVA and then implement them in C++ in the Credit Risk Engine. As a CVA focussed team, quantitative analysts will be expected to develop expertise in a number of different asset classes and work within a hybrid modelling framework
- PHD level qualification in numerate discipline (Mathematics, Physics, Chemistry, Computer Science etc)
- Must have 2-6 years experience of a front-facing role in Fixed Income and / or Credit Modelling OR Exposure to equities, inflation or commodities OR Exposure to credit value adjustment calculations OR previous experience of quant modelling in CVA or a single asset class
- Proficient in C++ AND Financial Mathematics
-Knowledge of Excel / VBA Development, Perl, Monte Carlo methods and Numerical Methods
If this is something you want to explore further, please reply with the latest version of your CV. All conversation are treated with the strictest confidence and your profile will not be discussed with anyone without your prior permission.