FX & XVA Quant Analyst – Model Risk

London or Singapore
Ref: FXVA-1806
£££ Highly Competitive Salary Package
Leading Global Investment Bank

Our client, a leading Investment Bank, seeks to recruit a talented Quant Analyst to join its model risk department to cover XVA and FX. Based in either London or Singapore, 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 FX and XVA
  • Implement benchmark models in C++
  • Develop alternative models and methodologies to assess model risk
  • 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)
  • Knowledge of FX products and FX vol modelling desirable; experience in XVA modelling (CVA, FVA) advantageous
  • Strong Financial Maths for derivatives pricing; Monte Carlo, PDEs and numerical integration
  • Good judgement in assessing the strengths and weaknesses of modelling approaches
  • Strong communication skills; fluency in written and spoken English