Credit & XVA Quant Analyst – Model Risk, London

Ref: XVMV-2806
£££ Highly Competitive Salary Package
Leading Global Investment Bank
Structured Credit (Credit-Linked, CDS, Swaps, CDS, etc), XVA models, C++, Python

Our client, a leading Investment Bank, seeks to recruit a talented Quant Analyst to join its model risk department to cover Credit & XVA.  Based in London, you will work on the validation of derivatives pricing models and assessment of the associated model risk. This is an excellent opportunity to work on cutting edge models in a highly quantitative global environment.


  • Review and validate front office derivative pricing models, focussed on XVA & Credit models
  • Implement benchmark models in C++, Python
  • Develop benchmark implementations & alternative models and methodologies to assess model risk
  • Assess the model risk in the Bank’s XVA calculations
  • Day to day support with all model related questions


  • Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
  • 2-6 years experience implementing derivative valuation models in C++ (Front Office or Model Validation
  • Experienced in XVA (CVA, FVA) and Credit modelling (Credit-Linked Notes, Range Accruals, Swaps, CDS, etc…)
  • Strong Financial Maths for derivatives pricing; Monte Carlo, PDEs and numerical integration
  • Good judgement in assessing strengths and weaknesses of modelling approaches
  • Strong communication skills in written and spoken English


  • A knowledge of wider XVA issues including hedging, building funding and credit curves, wrong-way risk and internal management of XVAs