£70,000 - £75,000
A growing investment bank based in London urgently require a Quantitative Analyst, to join their quant team on a permanent basis.
This role will involve handling all risk analytics and reporting to the Head of Market Risk Analytics on a daily basis.
Responsibilities of the Quantitative Analyst will include:
Handling quantitative support for all production issues (P&L, sensitivities, VaR/SVaR and stresses).
Quantitative and analytic review of risk and P&L methodologies.
Involved if necessary in non CVA quantitative issues and validation process.
Maintain and developing the internal pricing library.
Validation of Model developed by the Front Office Research.
Implementation of alternative pricing model and study of model risk.
Successful Quantitative Analyst will have:
Strong mathematical finance skills.
PhD in a quantitative subject would be beneficial.
Previous experience in dealing with exotic derivatives and CVA.
Strong knowledge of XVA and FVA.
Educated to a degree level.