XVA Model Validation Quant Associate / AVP

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Morgan McKinley
  • 11 Feb 19

Global investnent bank seeks AVP level Quant as part of their expanding XVA Pricing Model Validation team.

Key Responsibilities:

  • The role is as a Quantitative Analyst to independently review and analyse models for the valuation and risk management of Credit Valuation Adjustments (CVA), Funding Valuation Adjustments (FVA) and other VAs.
  • Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded across multiple asset classes, and the associated risks that are inherent from trading these products. In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed python/C++ library.
  • The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including
  • Additional responsibilities will include active engagement in the ongoing review of model performance and applicability as well as the validation and review of significant upgrades introduced to existing models.

Skills & Qualifications:

  • PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics.
  • Experience in a Model Validation, Front Office Quant or other relevant quantitative role.
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
  • A deep understanding of XVA modelling, especially CVA and FVA modelling.
  • A strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
  • Experience in coding in C++ in a managed codebase.

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.