Bloomberg Jobs

Quant Analyst - XVA Analytics

New York, NY

Posted May 30, 2024 - Requisition No. 125694

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.

We'll trust you to:

• 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

You'll need to have:

• 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.

We'd love to see:

• Knowledge of algorithmic differentiation.

• Experience in the use of machine learning for derivatives pricing

• Knowledge of Python

If this sounds like you:

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/

Bloomberg is an equal opportunity employer, and we value diversity at our company. We do not discriminate based on age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.

Bloomberg provides reasonable adjustment/accommodation to qualified individuals with disabilities. Please tell us if you require a reasonable adjustment/accommodation to apply for a job or to perform your job. Examples of reasonable adjustment/accommodation include but are not limited to making a change to the application process or work procedures, providing documents in an alternate format, using a sign language interpreter, or using specialized equipment. If you would prefer to discuss this confidentially, please email AMERrecruit@bloomberg.net (Americas), EMEArecruit@bloomberg.net (Europe, the Middle East and Africa), or APAC_recruit@bloomberg.net (Asia-Pacific), based on the region you are submitting an application for.

Salary Range: 155,000 - 285,000 USD Annually + Benefits + Bonus

The referenced salary range is based on the Company's good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.

We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation [Exempt roles only], paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.