Quantitative Analyst, Rates XVA, AVP

Overview

In this role you will design and implement pricing and risk models for complex derivatives on the Rates XVA desk, shaping how the trading business values portfolios. You will operate at the intersection of mathematics, software engineering, and financial markets, delivering quantitative solutions that scale. You will collaborate with traders, structurers, and technologists to ensure models meet business needs and governance standards. The role offers exposure to high-performance analytics, production-grade code, and a hybrid work setup. This position gives you an opportunity to impact pricing and risk decisions at global scale.

Pay / Benefits

• hybrid working arrangement
• competitive compensation
• exposure to high-complexity domain
• career development opportunities
• employee wellbeing programs
• team culture focused on technical excellence

Responsibilities

• Design and build analytics libraries supporting pricing and risk management of complex instruments on the Rates XVA desk
• Develop and implement quantitative pricing models using advanced numerical techniques
• Apply probability-based and statistical methods to evaluate risk in complex contracts
• Build and maintain quantitative models using C++ and Python with OO design and hardware acceleration
• Collaborate with traders, structurers, and technology teams to ensure models are fit for purpose
• Partner with control functions (Market and Credit Risk, Model Validation, Audit, Finance, Legal) for governance
• Assess risk-reward of modelling decisions to meet accuracy, transparency, and regulatory standards

Key requirements

• Experience in quantitative modelling or analytics within finance, with depth in derivatives pricing or risk management
• Proficiency in C++ for high-performance analytics in production
• Strong foundation in statistics, probability, and numerical methods
• Practical experience with Python for quantitative research and workflows
• Knowledge of financial products and quantitative methods used in trading or risk management
• Clear written and verbal communication skills to convey concepts to diverse audiences
• Master’s degree or PhD in Mathematics, Physics, Financial Engineering, or Computer Science

• clear and concise communication
• ability to collaborate with cross-functional teams
• problem-solving mindset
• C++
• Python
• derivatives pricing

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