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DATE ADDED: Sun 10/05/2020

Quant Analyst - Model Validation/ Accounting XVA & Credit

London, UK
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COMPANY: REED GLOBAL

JOB TYPE: Permanent, Full Time

SALARY: £70,000 - £75,000

A leading French Investment Bank are looking for a Quantitative Analyst to be responsible for Model Validation for Accounting XVA & Credit. This is a Permanent role paying up to £75,000 per annum + Bonus + Package.

Summary of the role:

Responsible for model validation within RPC / MCR / MRA London team.

Key Responsibilities

Responsible for the validations for the Credit and XVA (CVA, DVA, FVA…). Implementation of alternative pricing model, study of model risk. Participate in the design, specification and implementation of the reserves / provisioning methodologies for the model risk. Involved in all products / new activities within Credit and Scarce Resources Desk (pricing, risk measurement…). Quantitative support: Provide support to the risk management for all quantitative issues on P&L, sensitivities & VAR, Stress… Others product lines (FX, equity…): Involved if necessary in non-(Credit or XVA) quantitative issues and validation process.

Experience required:

  • Degree educated. Strong Mathematics skills - Essential. PhD desirable.
  • Experience in dealing with exotic derivatives. - Deep knowledge of Credit derivatives pricing models. - Good knowledge of Credit, CVA, DVA, and FVA pricing methods
  • Strong skills in mathematical finance. Strong skills C++ programming and ability to Programme in a common library project.
  • Desirable; Python, VBA programming skills and French language skills.

    If you would like to apply for this new post, please send your up-to-date CV while making sure all the essential skills required above are clearly visible . Thank you and we look forward to hearing from you.
    Role: Quant Analyst - Model Validation/ Accounting XVA & Credit
    Job Type: Permanent, Full Time
    Location: London, Greater London, Greater London

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