VP-SVP CVA Quant Analyst – Front Office Credit Value Adjustment Quantitative Pricing Modeling
Calling all driven technical Quant Analysts! The purpose of the CVA pricing quant is to develop and model CVA analytics within the front office. This is a priority hire involving interaction with traders and cross asset pricing library and cva model expansion. As a VP-SVP level hire this will involve grooming you for expanding project ownership and leadership responsibilities.
Location: NY, USA
The role:
- Develop, price and model credit value adjustments (CVA) front office pricing models.
- As part of the CVA team help the build out of a new generation of portfolio models.
- Support this cross-asset quantitative pricing library CVA expansion.
- Interact daily with quant traders as this new version securitized credit is traded.
- As an experienced hire this involves leading projects and potentially in time taking on growing leadership responsibilities.
Requirements:
- Excellent pricing skills and modeling abilities within a leading sell side quant team.
- Strong stochastic calculus, derivatives and C++ quant level programming.
- Excellent financial mathematics (Brownian motion, PDE, probability).
- Communication and with the ability to interact with traders in the front office.
- Academic track record with an MSc/PhD with a quant degree i.e. applied maths or applied physics etc.
In return they are offering:
- A huge opportunity to attain significant progression in an expanding pricing business.
- Exciting CVA market exposure in one of the few growing quantitative markets.
- A large number of evolving modeling projects to get your teeth stuck into.
- High Reward - exceptional Remuneration Structure.
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: cva pricing, cva modeling, cva models, cva quant analytics, credit value adjustment, stochastic calculus, derivatives pricing, applied maths, applied physics, front office quant pricing, portfolio models, cross asset quant team, PDE, probability, Brownian motion, VP Quant, SVP Quant
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