CVA Quant

Title: CVA Quant
Location: Downtown, New York
Duration: 3+ Months
Interview: Face-To-Face
My client a top tier bank is looking to add senior level quantitative risk modeler to their counterparty credit risk analytics team. This is a growth hire and for the right candidate will offer the opportunity to manage projects as well as direct reports right away. This group interacts will multiple other areas of the business and is full of some of the industry’s top quants.

Some of the main responsibilities of this role include:
• Developing calibration methodologies
• Developing and testing pricing models
• SME on CCR
• Developing CVA models
• Working with multiple areas of the business to implement the models
• Work alongside the model validators
• Interact with regulators
Required Qualifications:
• 7+ years of experience in quantitative risk modelling
• Ph.D. in Mathematical field with a stochastic calculus/process background
• Excellent communication skills
• Expertise in CCR and CVA modelling
• Extensive derivatives experience
• Strong programming skills specifically in C++
• Hands on experience with quantitative risk measures (IMM, PFE, EPE)

Thanks & Regards
Deepak Kumar | Lead Recruiter
Direct: 845-523-4543