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Quantitative Analyst - Banking - London

Job Title: Quantitative Analyst - Banking - London
Contract Type: Permanent
Location: London, England
Industry:
Salary: £60000 - £70000 per annum
Reference: BBBH17725_1522926303
Contact Name: Charlotte Emms
Contact Email: charlotte.emms@twentyrecruitment.com
Job Published: April 05, 2018 12:05

Job Description

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

The role will be sitting within the Valuation Analytics department, supporting the front office and trading teams. This area ensures derivatives pricing is effective

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

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