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Job Description

A global leading bank specialising in retail banking and services has launched a very ambitious digital transformation plan and are looking for a quantitative analyst - C# to join its global markets quantitative research division on a long term contract. 

The role:

The XVA quant team is working on extending the perimeter of its XVA pricing and risk management engine. Having started with rates, FX and inflation asset classes, the focus for 2018 is now on extension to the equity and commodity asset classes.

  • Contribute to the effort to integrate the equity and commodity deals and have their payoff supported by the XVA engine.
  • Participate in the associated equity and commodity model developments in the XVA engine, including the model calibration and handling of required new market data.
  • Integration of the developments into XVA batches with the goal to produce the XVA stocks and risks in a robust and efficient way.

Ideal candidate:

  • Master degree or higher in mathematics, physics, engineering or computer science.
  • Strong ability to code in C#.(C++ acceptable).
  • Good understanding of options pricing theory and American Monte-Carlo theory.
  • Good knowledge of fixed income, equity & commodity products.
  • Prior experience working within a quantitative research team.
If you are interested in this role please apply below or contact me for more information.