XVA desk strategist for a major IB

HRB; New York (NY); On-site; USD 100,000 - 150,000; Full time

Job summary

A major Investment Bank's XVA Strat team in New York seeks a motivated Associate/VP for IR/Inflation projects focused on modeling and calibration. The role involves supporting trading and risk management through analytics and tools development, requiring advanced analytical skills and programming expertise.

Qualifications

• Advanced degree in a quantitative field like Math, Physics, CS, or Engineering.
• Strong analytical and programming skills essential.

Responsibilities

• Support daily trading and risk management activities including pricing and hedging.
• Develop tools for pricing and risk management.
• Assist traders in understanding the market and developing business.

Skills

Understanding of derivatives products

Financial math of derivative pricing

Programming skills in C++

Programming skills in Python

Programming skills in Matlab

Communication

Education

Advanced degree in Math

Advanced degree in Physics

Advanced degree in Computer Science

Advanced degree in Engineering

Job description

The XVA Strat team at a major Investment Bank is seeking a highly motivated candidate at the Associate/VP level to join their New York team for the coverage of IR/Inflation projects with an emphasis on modeling/calibration. Please see details below.

Responsibilities:

• Supporting the desk’s daily trading and risk management activities such as pricing, hedging, etc
• Developing tools and analytics for the desk to price and risk manage positions
• Help traders and sales people understand the market and develop new business

Skills:

• Good understanding of derivatives products in one or more asset classes, including rates, credit, foreign exchange, equities and commodities
• Good understanding of basic financial math of derivative pricing
• Excellent programming skills in C++ and Python or Matlab
• Excellent communicator

Requirements:

• Advanced degree in Math/Physics/CS/Engineering or similar