My client, an investment bank, has an opportunity for a Quantitative Analyst within its Credit Valuation Analytics Portfolio (CVA) Modelling team. The team specialises in developing hybrid models across all asset classes and is part of the front office quantitative team.

Your will design, develop, and implement models to compute, price and hedge counterparty credit exposure for all type of transactions. This includes exotics, across all asset classes (FX, IR, credit and equity derivatives).
It is essential that you hold a PhD or foreign equivalent in Finance, Physics, Mathematics, Engineering or related field. You will hold some proven pre- experience in the job offered or related occupation. This experience must include implementing mathematical models in front office systems; supporting trading desk in risk assessment and product pricing; programming using C++, C# (or other object oriented language) under Windows and/or UNIX environment.