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Join this leading Global Investment Bank in a World Class XVA Quant Analytics Team.
CVA Quant Analyst required at this leading Investment Bank. You require 3+ years OTC Derivative Pricing experience in one or more Asset Classes, either Commodities & Equity etc.Ideally you will have already worked in the Front Office for a Large Investment Bank having Supported Traders.
You will be responsible for development and implementation of the XVA Framework , Complex CVA Credit Value Adjustment Models, working with traders in pricing CVA for exotic derivatives and vanilla products. You will gain extensive exposure to complicated Models, utilising your knowledge on Stochastic Calculus and American Monte Carlo Simulation.
You possess excellent C++ programming skills and or C#,. Academically strong, preferably possessing a PhD in a Quantitative or Scientific Discipline or equivalent qualification.
All applicants must have proficient English speaking communication skills and good interpersonal skills. You will interact closely with Traders, Risk Analytics, Model Validation and Regulators