Fixed Income/XVA Quant Analyst (VP), London

London
Ref: FIXVA-0710
Excellent base plus Front Office Bonus & Benefits
Leading Investment Banking Group
Front Office Quant Research Team

This top-tier investment banking group seeks to hire a Quant Analyst to join their Fixed Income XVA trading business in London. With a background in XVA or Interest Rates preferred, you will support the Fixed Income / XVA trading desk, work on trading tools, as well as design and develop new features for the engine. This is an excellent opportunity to join a growing institution and work on exciting projects!

KEY RESPONSIBILITIES:

  • Support the Fixed Income / XVA Trading Desk
  • Support the XVA engine, trading tools and systems
  • PnL explanation and improvement: numerical stability of pricing models,
  • Methodological model selection in terms of their use in terms & hedging strategy, for Rates, Inflation & flow & some structured products.
  • Data preparation and documentation

ESSENTIAL SKILLS & EXPERIENCE:

  • Strong front office quant modelling skills (>5/7y experience) in a big library environment, close to trading
  • A strong background in XVA and/or hybrid fixed income, rates
  • Extensive experience of coding in an industrial quant library
  • Advanced programming skills in C++ or other OO language, & VBA
  • Python: PyCharm, Jupyter, Pandas, TensorFlow: advanced user.
  • Good mathematical finance knowledge, particularly around rates or credit models