FX & XVA Model Validation Quant Analyst

London
Ref: MVQ-0512
Circa £70k base, plus bonus and benefits
Leading European Investment Bank
Validation of Front Office FX and XVA Models

A fantastic opportunity to join a respected European Investment Bank, as it seeks to support its FX and XVA Trading desks in London. Reporting to the Head of Model Validation, you will be responsible for the independent validation of all pricing models used for the FX and XVA desks.

KEY RESPONSIBILITIES:

  • Validate pricing models used within FX and XVA (CVA, DVA, FVA…)
  • Implement alternative pricing model, study model risk
  • Design, spec and implement the reserves / provisioning methodologies
  • Involved in all products / new activities within FX & XVA (pricing, risk measurement…)
  • Support risk management with all quantitative issues on P&L, Sensitivities & VAR, Stress…
  • Offer quantitative support, where necessary to other areas of the business

ESSENTIAL SKILLS & EXPERIENCE:

  • Experience in dealing with exotic derivatives
  • Good knowledge of FX pricing models for mono and multi-currency pairs
  • Good knowledge of CVA, DVA, and FVA pricing methods
  • Strong skills in mathematical finance
  • Masters or PhD educated in a quantitative subject
  • Strong C++ (preferred), C# or Python; Matlab advantageous