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XVA Pricing Quant Dev - Associate/AVP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH761391
  • Nov 05, 2020
  • Competitive
Job Description

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
>
> Advantageous:
> * 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.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant
  • + 44 20 7092 0103
  • ariedl@morganmckinley.com