Job Description

Reference # : 17-00944Title : CVA Model Validator/Quant Developer
Location : Long Island City, NY
Position Type : Contract
Experience Level : Start Date / End Date : 06/12/2017 / 11/30/2017

Develop a working benchmark model and testing suite for use in the validation of the front office CVA model used by the Equity/Hybrids business (C++/Python). This model will be capable of supporting CVA/FVA calculations in a multicurrency equity/rates hybrid framework. Use the model to test and assess the front office model. This will include an assessment of the impact of model assumptions and identification of model limitations.


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