CVA Quantitative Analyst (VP)


CVA Quantitative Analyst (VP)

Job Title: CVA Quantitative Analyst (VP)
Contract Type: Permanent
Location: London
Salary: £90000
Start Date: ASAP
Reference: PW64822
Contact Name: Phillip Wood
Contact Email:
Job Published: January 27, 2017 16:31

Job Description

The front office risk management team at this leading Investment bank seeks an experienced CVA Quant (>3-5 yrs) to contribute to the development of their CVA models for their FRTB framework.  You will influence the build of their future market risk platform including activities such as full revaluation capabilities, market risk models and stress-testing and infrastructure design.

This key role offers exposure to a wide variety of financial products and models, and a range of stakeholders across the bank and is an exciting time to join the bank in beautiful Copenhagen.


  • Develop models for CVA/DVA/FVA, plus analysis and tools to manage the impact of CVA/DVA adjustments
  • Understand the future market risk capital rules and the impact on market risk
  • Represent market risk from a first-line-of-defence perspective i.e. regulatory compliance, analysis and reporting capabilities
  • Work closely with risk managers, traders & IT design team
  • Ensure the CVA model complies with the new FRTB-CVA regulatory framework to assist Trading units


  • Strong track record working as a Quant Analyst, with 3 years within CVA
  • Market risk experience, deep knowledge of financial products & risk regulations
  • Knowledge of counterparty & market risk, & derivative pricing methodologies
  • Strong background in stochastic calculus
  • JAVA coding skills to deliver tools, with Python an advantage
  • Strong numerical academic background with Masters or PhD in Maths, Statistics or Physics
  • Excellent written / verbal communication skills in English

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