Global bank seeks an Associate level Pricing Quant Dev as part of their expanding Treasury Analytics Quant function. You will have a strong Quant Analytics and Development background.
Main purpose of the role:
> * Engineering the improvement, extending and testing for the models and pricing engines including xVA models
> * Desk support for Treasury wrt pricing models and products
> Key responsibilities:
> * Contribute to architecture design and development of the xVA system
> * Model analysis and improvement (calibration, risk stability, market data, , etc.)
> * Quantitative support to Trading, Model Validation and Middle Office.
> Skills and experience:
> * Advanced C++ development skills
> * Experience in similar quant function
> * Experience in large-scale computing systems (cloud, xVA, etc)
> * Experience in derivative pricing
> * Knowledge in xVA concepts
> * Experience in VBA/Excel pricing sheets
> * Experience in NumeriX and/or Summit
> Personal Requirements:
> * High motivation and ability to work under pressure
> * Team player
> * Ability to work independently
> * Good communication skills and ability to support disparate clients
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.