CVA Quantitative Analyst
CVA Quantitative Analyst
Job Requisition Number: 39045
New York - USA
Bloomberg's Cross-Asset Derivatives Quant Team is responsible for modeling, implementing and deploying derivatives pricing models across all asset classes (FX, Equity, Rates, Commodity, Credit) to the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service. The group ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations that keep Bloomberg at the cutting edge of derivatives analytics.
The team seeks a Quantitative Analyst experienced in developing CVA/counterparty risk analytics. The candidate will participate in the full life-cycle of quantitative development ranging from research, prototyping, production implementation, deployment and on-going maintenance, as well as interaction with internal and external clients.
Typical responsibilities include:
- Develop credit value adjustment front office pricing models; support the cross asset quantitative library CVA expansion; implementation of multi factor Monte Carlo engines using American Monte Carlo.
- Documenting and communicating these findings to internal and external clients as necessary.
- At least 1 or 2 years of experience in implementing CVA models.
- Strong Derivatives pricing knowledge. Cross-asset experience is a plus.
- Strong knowledge of numerical techniques employed in derivatives pricing models.
- Hands-on implementation experience and strong programming skills (C/C++ required, Python optional).
- Strong team-player comfortable in a multi-developer environment with a facility for interacting with quants, IT groups and product managers.
- Good oral and written communication skills.
- Ph.D in a technical discipline (mathematics, finance, physics, engineering or similar field).
Bloomberg, the global business and financial information and news leader, gives influential decision makers a critical edge by connecting them to a dynamic network of information, people and ideas. The company's strength delivering data, news and analytics through innovative technology, quickly and accurately is at the core of the Bloomberg Professional service, which provides real time financial information to more than 315,000 subscribers globally. Bloomberg's enterprise solutions build on the company's core strength, leveraging technology to allow customers to access, integrate, distribute and manage data and information across organizations more efficiently and effectively. Through Bloomberg Law, Bloomberg Government, Bloomberg New Energy Finance and Bloomberg BNA, the company provides data, news and analytics to decision makers in industries beyond finance. And Bloomberg News, delivered through the Bloomberg Professional service, television, radio, mobile, the Internet and three magazines, Bloomberg Businessweek, Bloomberg Markets and Bloomberg Pursuits, covers the world with more than 2,400 news and multimedia professionals at more than 150 bureaus in 73 countries. Headquartered in New York, Bloomberg employs more than 15,000 people in 192 locations around the world.
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