Quantitative Analyst – Rates XVA
Location(s): New York, New York, United States
R
USD 175K-250K Mid-level Full Time
Tasks
- Assess accuracy transparency and regulatory compliance of modelling decisions
- Collaborate with traders structurers and technologists to align models with business needs
- Coordinate with legal compliance market risk credit risk and finance for model governance and oversight
- Create and maintain quantitative models for derivatives valuation
- Design and build analytics libraries for derivatives pricing and risk
- Develop and implement quantitative pricing models using Monte Carlo simulations and partial differential equation solvers
- Evaluate derivatives risk using probability-based frameworks
Perks/Benefits
- 401k
- Health insurance coverage
- Hybrid work arrangement
- Insurance coverage
- Paid time off
- Wellness programs
Skills/Tech-stack
C++ | Differential Equations | Interest Rate | Interest Rate Derivatives | Mathematical Finance | Monte Carlo | Numerical Methods | Numerical schemes | Partial differential equations | Probability | Python | Risk Modeling | Statistics | XVA
Education
Roles
Regions
Countries
States
Cities
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