Front Office CVA Quant-New York-Vice President–Senior Vice President-$130,000 - $175,000 base + discretionary bonus





One of the leading US Investment Banks are looking to expand their CVA team with the acquisition of a highly experienced Quantitative Modeller, who can make an immediate contribution to the team.
We expect the person to share in a balanced mixture of responsibilities, including model research and development, pricing and risk investigation, discussions with the trading desk, and software development.

Responsibilities:
-Designing and implementing models to support exotic and vanilla interest rate derivative trading working very closely with the desk to cover products such as, Libor Range Accrual, European/Bermudan swaption, HGM, CMS spread options, and cap/floor, callable/cancellable swap.
-Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.
-Develop pricing and calibration tools.
-Benchmark and compare results of various techniques.

Qualifications:
-Significant experience in interest rate and Hybrid modeling, specific exposure to CVA and the counter party risk trading space would be ideal,
-Strong academic background to PhD level in a highly quantitative field, such as Computational Finance, Mathematics, Physics, Financial Engineering etc,
-Exceptional Mathematical modeling credentials, with working knowledge of Stochastic Volatility with jumps, advanced PDE's, Libor, HJM etc,
-Strong programming knowledge in C++, C, Visual Basic, Java, SQL, VBA etc.

For more information please contact the Quant Exotic team by mail.


Apply by email.
Please do not modify the subject of the mail or your application will not be considered.