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Quant Analyst, XVA-CCR Assoc, AVP, London

Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

XVA Libraries, SIMM, ColVA, IMVA, CCR, C++, PythonKEY RESPONSIBILITIES:

  • Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, COLVA, SIMM …).
  • Define and implement mathematical tools and pricing models for XVA-linked activity.
  • Develop XVA models tools and features in the XVA and /or the SIMM Library
  • Support XVA Traders, Product Control, Model Validation and IT
SKILLS & EXPERIENCE:
  • 3 years+ analytics experience in XVA, CCR or Rates modelling gained in FO, Model Val or Risk IT
  • Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, … .
  • Knowledge of SIMM and XVA.
  • Advanced programming skills in C++ & Python
  • Derivatives understanding with: Stochastic calculus, e.g. brownian motion; algorithm complexity; CVA estimates
  • PhD or MSc in a hard science or engineering discipline.

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