The role involves leading the design and deployment of valuation models for interest rate, credit, and inflation derivatives alongside comprehensive XVA adjustments
Job Summary
The role involves leading the design and deployment of valuation models for interest rate, credit, and inflation derivatives alongside comprehensive XVA adjustments.
Candidates must possess deep mathematical knowledge combined with strong implementation awareness to ensure model robustness in a fast-paced trading environment.
The position requires acting as a primary quantitative partner to Trading and Risk teams while managing regulatory compliance and model governance processes.
Matching Summary
The role involves leading the design and deployment of valuation models for interest rate, credit, and inflation derivatives alongside comprehensive XVA adjustments.
Skills & Requirements
Must-have
Fixed Income modeling expertise
XVA framework development (CVA/DVA/FVA)
C++ programming skills
Interest rate derivative pricing
Model calibration and validation
Nice-to-have
Python for prototyping and analytics
Mentoring junior quantitative staff
Experience with inflation derivatives
Stochastic volatility models knowledge
Proactive analytical mindset
Key Requirements
MSc or PhD in Mathematics, Physics, Engineering, or Quantitative Finance
Significant Front Office Quant experience in Global Markets
Deep expertise in multi-curve frameworks and stochastic models