VP-SVP CVA Quant Analyst
JOB DESCRIPTION:
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 a team lead role building out a new 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
APPLY | jobs@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.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
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