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Quant Analyst - Banking - London

Job Title: Quant Analyst - Banking - London
Contract Type: Permanent
Location: London, England
Industry:
Salary: £60000 - £70000 per annum
Reference: BBBH18118_1525772639
Contact Name: Charlotte Emms
Contact Email: charlotte.emms@twentyrecruitment.com
Job Published: May 08, 2018 10:43

Job Description

Twenty Financial Services are currently recruiting for a Quantitative Analyst for a Global Bank in London.

The person hired will be contributing to the development and implementation of fair value and prudent valuation methodologies and contributing to the development of a robust framework (C++) which distributes quantitative solutions across all Global Markets locations. The role will be sitting within the Valuation/ Product Control Analytics department, and also supporting the front office/ trading teams. This area ensures derivatives pricing is effective.

Responsibilities

  • Development and improvement of methodologies within the XVA Fair Value Adjustments space
  • Contribution to the C++ library
  • Development of stress testing methodologies
  • Interpreting regulatory stress test requirements and scenarios and ensuring models and processes are compliant
  • Performing analysis in CVA, Funding VA and other Fair Value Adjustments stress results; - leverage from trade risks and ascertain major impact drivers and risk concentration
  • Challenge and present in regular stakeholder presentations and check in sessions, working with Product Control, Development team, Market Risk and Front Office
  • Ensure that procedures are managed in adherence to Group Market Risk guidelines

Skills

  • Degree in a quantitative discipline: PhD or MSc is highly desired
  • Knowledge of Rates and FX derivatives and CDS
  • Programming skills in C++; R (RStudio)/ SQL/ Python or VBA also desirable
  • Experience with XVA and other Fair Value adjustments is desired
  • Knowledge of Rates, FX, and CDS products is desirable
  • Excellent analytical skills