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.
- 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
- 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