Quantitative Analyst - Model Validation - CONTRACT
Core
Independent assessment and challenge of complex pricing and XVA models for cross-asset derivatives.
Role type
Quantitative Analyst - Model Validation (Contract)
Builds
Validated pricing models and risk exposure assessments for Rates, FX, Credit, Equity, and Commodities.
Domain
Investment Banking / Quantitative Finance
Deliverable
production ML models
Required skills
XVA methodologies (CVA, DVA, FVA), cross-asset derivatives pricing, Monte Carlo simulation, Python/C++ programming, counterparty credit risk modeling
Preferred skills
Risk engines, regulatory reporting tools, machine learning techniques, cloud-based computation
Responsibilities
Assess and challenge complex pricing models, validate XVA methodologies, model counterparty credit risk exposure
Seniority
Experienced IC