The Director level, Senior Quantitative Finance Analyst role sits within the Counterparty Credit Risk Analytics team. The remit of the team is to build, test and document simulation and pricing models used to quantify counterparty credit risk for credit risk limits and capital (RWA). The team works very closely with the front CVA quant team and there is a deliberate effort to ensure model convergence across applications where appropriate.
As Senior Quantitative Finance Analyst Your Main Responsibilities Will Involve
Each team member has a primary area of responsibility which can be an asset class, overall exposure calculations (aggregation/collateral modeling), back testing methodology, onboarding new trade types to the regression pricer framework etc.
The core analytics resides in C++ and is accessed via a Python layer which is where the majority of the development work takes place. Extensive Python experience is therefore expected from the successful candidate.
The overall deliverable for the team over the next couple of years is to improve the modeling sophistication to a level where the firm gains IMM approval from the US regulators.
Essential Skills
PhD in Maths / Physics (or potentially a good MSc)
Strong Python (and ideally C++) coding, stochastic calculus
Good knowledge of general arbitrage theory
Detailed knowledge of at least one asset class (Rates, FX, Credit, Equity or Commodities)
Experience in a CVA quantitative team preferred
Knowledge of front office pricing models would be desired either from a front office quant perspective or from a model validation perspective
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