Quant Analyst - XVA (CVA / FVA) - Investment Banking - London
Our client, a leading Investment Bank, requires an experienced Quant Analyst to join an established and high calibre Derivatives Pricing Quant Team.
The successful candidate will focus on meeting the requirements of the BCBS 261 new value adjustment focusing specifically on calculating the Margin Valuation Adjustment. This will involve looking at formulating, documenting and testing new solutions and then implementing into the functional library.
Candidates must have:
- Strong and demonstrable track record working as a Quant Analyst within the XVA space (CVA / FVA)
- Strong C++ coding skills required (to deliver tools via C++ library)
- Strong numerical academic background with Masters or PhD in Maths, Statistics or Physics
- Good understanding of Inflation Swaps
- Strong background in stochastic calculus
- This role could also suit someone who is working within a derivatives pricing team (ideally Interest Rates) and keen to move into the XVA space