This is a 6-12 month contract working in a global Investment bank in the XVA Quant team for IMM approval purposes.
it will involve working in either the London or Paris office, depending on preference and will be working on CCR models; CVA, FVA, etc.
Requires good C++ skills, Monte Carlo simulation experience, and an understanding of CVA, EPE, PFE.
Project begins Feb/March.
Daily rate will be £650-750 depending on experience, and there is continuing work following this contract if you are flexible on location.