Counterparty Credit Quantitative Analyst (Assistant Vice President)
33 CANADA SQUARE CANARY WHARF LONDON, United Kingdom
GBP 75K-97K (estimate) Executive-level Full Time
Tasks
- Apply mathematical finance statistics and probability in risk models
- Assess risk reward of model and tooling developments
- Collaborate with quantitative analysis colleagues and trading desks
- Create implement and support quantitative models for XVA and OCM
- Develop analytics libraries for CVA and DVA pricing and risk management
- Develop pricing models using numerical techniques
- Ensure adherence to code of conduct and supervision policies
- Ensure compliance with applicable laws rules and regulations
- Run Monte Carlo methods for valuation
- Solve valuation using partial differential equation solvers
Perks/Benefits
- Employee assistance program
- Generous holiday allowance
- Hybrid work model
- Learning and development resources
- Paid parental leave
- Pension plan
- Private medical insurance
Skills/Tech-stack
C++ | Differential Equations | Machine Learning | Mathematical Finance | Monte Carlo | Numerical analysis | Object-Oriented | Object-oriented design | Partial differential equations | Probability theory | Python | Risk Management | Software Design | Statistics
Education
N/A
Roles
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