Senior CVA Quantitative Analyst, Leading Investment Bank | New York, USA
JOB DESCRIPTION
A leading Tier One Investment Bank in New York is looking to bring onboard an experienced CVA Quant to join their expanding multi-asset desk. Candidates should ideally have a minimum of 3 years direct CVA experience with a solid background within Interest Rates, FX or Credit. This is an excellent opportunity for a senior quantitative analyst to take a hand’s on leadership presence within an award winning expanding desk. The successful candidate will be working across a breadth of assets including exotic vanilla credit, Interest rates, FX currencies credit
Location: New York, USA
The role:
- Detailed review of front office pricing models
- Developing and implementing derivatives pricing models
- Chance to work on a variety of complex cross-asset models within CVA.
- Working entirely in their Front Office alongside quant’s trade specialists
- Support traders, research strategies and quantitative ideologies to a large degree
- Liaising closely with both senior quant’s and traders
Requirements:
- 5-10 years experience
- Minimum of 3 years direct CVA exposure
- A multi-asset (hybrid) background within IRD, Fixed Income, Credit, FX is highly desired
- Experience with advanced numerical techniques for rapid incremental pricing calculation of CVA sensitivities
- An excellent quantitative PhD/MSc from a top school in a very quant focused thesis: Applied Mathematics, Theoretical Physics, Statistics Probability, Electrical Engineering, Financial Engineering etc
- Strong communicative skills
- Experience with C++, C#, JAVA, VBA, Matlab are of preference
- Confidence with a strong numerative background
- Highly ambitious
- Strong leadership skills
- Entrepreneurial attitude to help build out the desk
In Return:
- A huge opportunity to attain significant progression within the quant analytics sphere
- A large number of evolving projects to get your teeth stuck into and work expansively
- The chance to join one of the strongest fastest growing CVA teams on the street
- The chance to master and manage some of the most complex models you can put your mind too.
- Impressive remuneration structure that pay extremely well both on base and bonus
- Have daily interaction with the business and be a key part of their unrivalled success, whilst enhance one’s own diversity of credentials
- Relocation allowance for overseas quant’s
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key Words: quantitative analytics, quantitative pricing, quant development, strategist, strats, quant pricing group, quantitative derivatives modeling, global analytics library, C++, Python, Java, Matlab, Credit Value Adjustment, CVA, interest rates, credit derivatives, counterparty risk, quantitative risk.
APPLY | quant.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
Search Consultant: James Friend
Contact Telephone Number: +44 (0) 203 141 8036
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
We operate globally and leverage our extensive relationships to unite the most talented people with the most intellectually and financially rewarding career opportunities throughout Europe, the United States, Asia and the Middle East.
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