As part of the IBOR Transition currently led by this major British Investment Bank, Quanteam UK is delivering Quantitative advisory across all the Quantitative desks.
The target of this transition to Risk-Free Rates (RFR) set to end of 2021 is to create new products and models as well as a major rethink of the current ones.
In this context, our client (Head of XVA, Regulatory Capital, Counterparty risk, IRC & Credit Risk Modelling) is currently leading the validation of Risk-CVA models, developed by the Front Office XVA Quantitative desk. In this perspective, Quanteam UK is hiring a Quantitative Analyst, to join this Risk-Model Validation Quant Team, sitting within Counterparty and Credit Risk function, aligned with cross asset Quantitative Team.
These risk models are written in C++ and the validation work is done in Python.
● A solid quantitative background – MSc or PhD in Mathematics, Physics or other quantitative discipline will be highly appreciated
● Practical mathematical programming experience in Python
● 7+ years of Practical Quantitative Experience.
● XVA, CVA & Front Office background