Summary

Develop quantitative analytics libraries and pricing and risk models for cross-asset XVA and capital analytics. The role uses C++, Python, and other programming technologies to support trading, valuation, and risk management; no working arrangement is specified.

Responsibilities

• Develop analytics libraries for pricing and risk management
• Implement quantitative models for the trading business
• Build pricing models using numerical techniques
• Apply Monte Carlo methods and differential equation solvers
• Support models used by trading teams
• Partner with control functions on governance