Quant Analyst - XVA Analytics

Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modelling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, buy- and sell-side enterprise risk management, and derivatives valuation services. These models include those for pricing derivative products across all major asset classes, including market data; counterparty credit, XVA and initial margin; value-at-risk and other market risk metrics; and credit risk models. The team has two recent Risk Quant of the Year winners and is dedicated both to novel research as well as efficient model delivery through a modern C++ library.

We are looking for a candidate to join the XVA quant analytics Group. Within the Quantitative Analytics team, the XVA Analytics group is responsible for maintaining and developing Bloomberg solutions for XVA, PFE and regulatory capital calculations.

• Contribute to the design and extension of Bloomberg's world class XVA calculation engine
• Implement suitable high performance pricers for different asset classes.
• Write modern, clean, reusable, well tested, peer-reviewed C++ code
• Research on new methodologies and keeping up to date with mathematical, technical and regulatory innovation in the financial industry
• Translate business requirements into precise math that translates well into algorithms
• Provide mathematical and technical documentation to internal stakeholders and external clients
• Work closely with our product management, model validation and engineering partners
• Support our clients and sales teams

• A Masters or PhD level qualification in a quantitative discipline (such as Mathematics, Physics, Engineering or Quantitative Finance)
• 4+ years of experience at a vendor, buy-side or sell-side institution developing models for XVA, counterparty credit risk, or hybrid derivatives.
• Proficient in modern C++ software design and implementation.
• Good communication and writing skills and ability to interact productively and positively with multiple stakeholder teams, both internally and with external clients in support of our Sales teams.

• Knowledge of algorithmic differentiation.
• Experience in the use of machine learning for derivatives pricing
• Knowledge of Python

Apply if you think we're a good match. We'll get in touch to let you know what the next steps are, but in the meantime feel free to have a look at the below to give you an idea of how the quant work contributes to the overall Bloomberg offering:
https://www.bloomberg.com/professional/expertise/quantitative-analyst/

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