Top US investment bank seeks an experienced quant for CVA (Counter Party Risk Credit Value Adjustment) Quantitative Modeling. You will be working in a team of Quants to develop models and tools to support global CVA trading to dynamic hedge counter party risk for interest rates, cross currency, FX and inflation products.

The team is aware that there are not many in the market with CVA experience, therefore the salary is highly competitive as they seek to find the best talent to build up the group.



This role represents an excellent opportunity for a candidate to join a growing team, leading to management responsibility and the chance to grow an area of business within the firm.



Qualifications:

Experience as a quantitative analyst working on CVA and credit derivatives.
Top mathematical modelling expertise: stochastic calculus and volatility, back scholes, PDE’s, etc
A top academic background to PhD, DEA level in a highly quantitative field: Mathematics, Physics, Financial Engineering etc.
Excellent communication skills and the ability to work well within a team.
Good programming ability, mainly in C++.
Experience of Monte Carlo simulations




To apply or for more information please contact quantexotic@selbyjennings.com

www.selbyjennings.com