CVA Desk Quant, Front Office, Major US Investment Bank
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CVA Desk Quant, Front Office, Major US Investment Bank

Date: 16 Jul 2014
Location: United States, New York
Salary: 140,000 - 210,000$ per Annum
Fixed Income, Currencies, & Commodities (FICC) Sales and Trading (IBD) is seeking a VP quantitative analyst to sit as a desk quant for their expanding CVA trading team. The incumbent will provide modeling and analytical support to several experienced traders within the team and liaise cross-asset.

Responsibilities include:

-Research and develop new CVA/DVA/FVA pricing models for FX, Rates, Credit, and Commodity derivatives.
-Analyze and price structured deals and develop hedging strategies.
- Enhance and maintain models for Front Office quant library and application.
- Assist in counterparty credit risk management analytics and strategy.

Requirements:

- Minimum 3-5 years experience with derivative pricing in a Front Office or equivalent.
- Exceptional programming skills with C++.
- Strong communication skills and interpersonal tact.
- PhD or MS from a top university in a technical discipline (Mathematics, Physics, Engineering, Computer Science, etc.)

Apply immediately. This role as been marked top priority by the client and they have asked our team to start interviews immediately. We also welcome tentative inquiries for qualified candidates.
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