Senior Quant Analyst, IR/FX/XVA (VP-Dir)

Ref: IRXVA-0409
AUD Highly Competitive Salary Package
Leading Investment Bank

Our client, a leading Investment Bank is looking for an experienced Quant Analyst for its Sydney business. With a background in Interest Rates or FX (XVA a nice-to-have), you will be responsible for derivative pricing, risk and independent valuations across the business. You will also help maintain the in-house global pricing library, as well as supporting a number of tools.


  • Support the C++ in-house global derivative analytics library
  • Work with the desk to push best practice in pricing and risk solutions
  • Provide predictive tools for derivatives trading
  • Day to day quantitative support for the business
  • Mentor and support junior members of the team
  • Lead for pricing and risk decisions across key businesses


  • 4+ years experience in a quant analytics role: ideally Interest Rates, FX or XVA
  • A good understanding of pricing Fixed Income and FX Linear and Optionality products
  • Built or maintained Interest Rate models (Multi-curves, Cheyette, LSV, SABR and Heston etc)
  • Strong derivatives product knowledge, covering Swaps, Vanilla Options and Exotics
  • Good numerical techniques experience: PDE or Monte Carlo to model stochastic processes
  • Experience building risk management tools
  • Any exposure to XVA risk modelling is desirable
  • Strong programming skills in C++; Python and Murex advantageous
  • Masters (ideally PhD educated) in a quantitative field (Maths, Science or Engineering)