Counterparty Credit Quantitative Analyst (Vice President)
Core
Develop analytics libraries and quantitative models for pricing and risk management (CVA/DVA) supporting XVA and OCM businesses at a global financial institution.
Role type
Vice President, Counterparty Credit Quantitative Analyst
Builds
Production pricing models and risk management tools for illiquid counterparties
Domain
Financial Services / Quantitative Analysis / Derivatives
Deliverable
production ML models | product features
Required skills
C++, Python, advanced calculus, object-oriented design, mathematical finance, statistics, probability, Monte Carlo methods, partial differential equation solvers, software design principles
Preferred skills
Market data exposure, product knowledge in investments, quantitative methods
Technologies
C++, Python
Responsibilities
Develop analytics libraries for pricing and risk management; Create and implement quantitative models for XVA and OCM; Collaborate with quantitative analysis colleagues and desks; Assess risk/reward of developments; Ensure team adherence to compliance and ethical standards
Seniority
Vice President, hands-on IC with leadership responsibilities