Vacancy detail

XVA quant strat - Assoc/VP level

£50,000 – £100,000 perfomance based bonus

Location: Hungary Type: Permanent

XVA Quant Strat

Budapest based

This modeling team is embedded in the global strat team and provides quantitative solutions to multiple businesses across several divisions. Our client is looking for someone to join the XVA strat team. The XVA desk is a unit within Fixed Income and focuses on pricing and hedging Counterparty Credit Risk. You will work closely with XVA strats and traders in New York, London, Hong Kong, with credit/market/model risk management, controllers as well as IT. You will require a deep understanding of high level mathematical models used for pricing financial products or mitigating risks, and also an ability to interact and cooperate with global teams.

What's on offer:

  • To work with some of the best professionals in the business - for a firm that values individual intellect as much as teamwork.
  • State-of-the-art offices in the City Centre that are designed to maximize collaboration.
  • Flexible working arrangements (core hours and opportunity to work from home).
  • Enriching challenges that provide opportunity for constant learning and advancement.
  • An environment which is leveraging technology to its highest potential.

Responsibilities:

  • Build, transform and implement models for exposure calculations along all asset classes, counterparty default probability calculations, collateral management, IM/IA models based on business needs, and internal and external regulatory requirements.
  • Develop and implement ongoing monitoring and tracking methods for different key metrics.
  • Support the global teams with information and analysis, transform raw data into meaningful metrics and charts to support decision making.
  • Produce ad hoc deliverables and reporting materials.

Requirements:

  • or PhD in mathematical finance, mathematics, physics, statistics, engineering, computer science, informatics or similar quantitative area.
  • Solid mathematical foundations, especially probability theory and statistics.
  • Strong analytical and problem solving skills.
  • Genuine interest in finance, statistics, and software development.
  • Self-motivated personality with high standards for quality of work and accuracy, and attention to details.
  • Confident command of English.
  • Ability and willingness to work with virtual teams across the regions contributing to common goals.
  • Aptitude to work in a fast-paced, high energy level environment.

Reference: AMC/JME/XVABDP1

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