XVA Quant Analyst
Front Office Commodities
Geneva, Switzerland (onsite)
Main purpose
We are looking for a Front Office Quantitative Analyst to join our team. This is an exciting new opportunity to work on XVA and working capital models as well as contributing to a Quant Library in a dynamic and leading commodity house. As part of the job, you'll be developing and maintaining methodologies and quantitative tools, and liaising with stakeholders across the business (Traders, MO, Risk, Finance, Credit, IT). You will have strong interaction with traders and be part of the daily process of assessing the risk associated to every new transaction.
Key responsibilities
- Developing and maintaining methodologies and quantitative tools
- Liaising with stakeholders across the business (Traders, MO, Risk, Credit, IT) Assess the risk (CVA and FVA) associated to every new transaction
Required qualifications
- 3+ years working experience, preferably in an XVA quantitative business in commodity
- Very strong analytical and mathematical skill
- Comfortable with derivatives modelling concepts
- Strong Python and/or C++ programming skills & experience
- Experience in delivering production quality code, including use of source control, continuous integration, unit and regression testing
- Knowledge of working capital / cash at risk models within physical commodity space would be a plus
- Master’s or higher numerate degree in Maths, Engineering, Physics, Science, Finance, or related field
