Banking client seeks an AVP level Quant Analyst as part of their expanding XVA Analytics function.
The Associate, Quantitative Analysis, is a specialist who performs a variety of highly technical tasks pertaining to the valuation (including xVAs) and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing, implementing and maintaining pricing tools and libraries developed in C++.
The Treasury Quantitative Analytics Group is responsible for all quantitative requirements of Treasury. These requirements include the design, validation, implementation and maintenance of pricing models for various types of derivative and structured products, portfolio management tools (including xVA) and risk management tools.
While the main stakeholder is the Treasury Department, the team also provides its expertise and input to other departments within the Bank, including Risk Management, Operations, Accounting and Banking.
The Associate, Quantitative Analysis, undertakes the following responsibilities and activities:
- Knowledge, Skills, Experience & Qualifications
Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.
Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA, FVA).
Proficient in C++, Excel, VBA, databases, Json/XML, SQL, Matlab, SVN.
Knowledge of NumeriX and Summit or similar systems
Ability to communicate well with all levels of the business community, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
A methodical and practical approach to problem solving and troubleshooting.
Demonstrated experience contributing to and delivering projects as part of a team
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.