Senior CVA Analytics Quant
The need is for an energetic senior quant (preferably from a bulge bracket), to assist the Head of CVA Analytics with high enthusiasm.
EXPERIENCE REQUIRED:
- 5 years’ experience as a front office quant, specializing in CVA, FVA and collateral pricing and risk management
- Strong understanding of financial derivatives across all major asset classes.
- Built models for calculating counterparty credit exposure including all asset classes
- Building tools to calculate exposure incremental CVA for trades
- Applied methodology for CVA, DVA, cost of collateral and cost of funding
- Understand optimal capital usage on departments/desks/trade level
- Developed multi-asset pricing library for valuing portfolios of exotic and vanilla transactions
- Enjoyed daily interaction with CVA and funding trading desks.
- Excellent academic background and strong analytical skills
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