VP/Director
The team is responsible for the methodology and maintenance of the main Monte Carlo simulation and pricing engine used for Regulatory Capital, Credit Risk Limits and CVA. The work involves developing and enhancing simulation models across all asset classes and in particular devising the calibration routines for the models. Further, the team is responsible for general quantitative support in connection to trading platform migrations, other system changes and to a limited extent trade support (there is a dedicated and separate team who is responsible for that but the quant team should be able to explain unintuitive/unexpected results).
The successful candidate will most likely have a PhD in math/physics (or potentially a good MS), strong stochastic calculus, coding in C++ and preferably in Python, good knowledge of general arbitrage theory and detailed knowledge of at least one asset class (Rates, FX or Credit preferred). Experience in a CVA quant team would be ideal as the overlap would be substantial but knowledge of FO pricing models would be desired either from a FO quant perspective or from a Model Validation perspective.
The candidate would join either at VP or Director level depending on experience.
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