Top CVA quant role based in NYC at a top IB – USA (CESR) recruitment


This leading New York Investment Bank is looking for a talented individual who is looking for quick career progression and a new challenge. They are seeking an exceptional individual to join their Front Office CVA team at the head offices in NYC. The successful individual will come on at a very competitive level and will take on a great deal of responsibility from day one and  should not be afraid to take the initiative and bring new ideas to the team. The manager and head of the quantitative space needs a person to be able to come in and implement CVA models to a high standard and also take over creating new CVA models for the business. This role will require a very high level of mathematical finance ability including the creation of complex derivative pricing models using high end mathematical modelling such as Stochastic Calculus, advanced PDE’s, Stochastic Volatility etc.

Responsibilities for the Senior Credit Valuation Analyst role:

-Monitoring of collateralised counterparty valuations and resolving counterparty/client valuation disputes,

-Maintenance of all Fair Value Adjustments on derivative trades and positions,

-Product implementation review,

-Maintenance of Credit Valuation Adjustment (CVA),

-Price verification of the CVA desk’s trading positions; capturing market inputs relevant to independent calculation of CVA; review and analysis of CVA model inputs; designing and implementing CVA model input stress tests; CVA back testing including monitoring CVA model performance.

  Requirements of the Senior Credit Valuation Analyst role: 

- Strong educational basis - PhD or Masters in mathematics/Physics or similar discipline.

- MUST have Core CVA experience or strong LMM HJM modelling experience.

- Must have between 2 - 8 years of experience, as the team has easily accommodate a variety of experience levels.

- The ideal candidate must be a strong C++ programmer/developer.

- Computer programming (Excel/VB literate, ideally SQL).

- Direct experience of CVA hedging from a leading financial institution would be a great addition. 

- A bit of expereince with derivative model implementation and model calibration would be helpful for some day to day tasks.

- Excellent programming skills C++ in a finanacial industry position.

To apply please contact quantexotic@selbyjennings.com with CV in word format or call + 44 (0) 207 019 4137

Key words: Front Office; CVA; credit value adjustment; counterparty risk; Quantitative Analyst; Credit Valuations Adjustment; Senior Vice President; Associate Director; Trading; Traders; USA; NYC; new York ; C++; excel; experience; front office; stochastic; trade; LMM; HJM; model; calibration; hedging; stochastic calculus;