Front Office Quant

Front Office Quant

Investment Banking: Front Office Quant

Essential:
Implementing models, pricing and hedging.
Assessment of Cost of Funding and its relation with CVA and DVA. This includes assessment of portfolio costs and hedging.
Design and implementation of methodology and models to assess and manage risk for collateralized transactions.
Cost and profitability allocation across businesses
Development of margining models. This includes development of a suitable methodology for transactions traded on clearing houses (OTC to CCP)
Knowledge of counterparty risk or exposure calculations will be an advantage but not a determining factor.
An ability to work independently, be up and running quickly and work to tight deadlines while maintaining a high quality in the deliverables is essential.
A strong academic background will be beneficial but not essential depending on experience.

If interested, please send your CV for a call back and an opportunity to discuss the role in more detail.

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