1. Qualified, interested parties should email their resume and cover letter to Dan Ogden, Managing
Director, at dan.ogden@rockwood-search.com.
Confidentiality assured.
Principal Financial Engineer – CVA Specialist
Our client, a major solution partner to the capital markets, seeks an experienced quant in either
their New York or San Francisco office to spearhead the development of their counterparty risk
analytics. Our client's objective is to provide solutions for both the front office (e.g., CVA desks)
and risk control groups responsible for regulatory requirements.
The Principal Financial Engineer must be able to simultaneously work with existing and
prospective clients while also moving the strategic development agenda forward. Senior
management is committed to establishing themselves as a leader in analytics and as one of the
principal quants, the Principal Financial Engineer will be expected to play a significant role in
achieving that objective.
Skills & Requirements:
• 5 or more years of experience in quantitative research within global dealer bank(s).
• 3 or more years of experience working directly on counterparty risk analytics. Specifically, a
key role in the implementation of a multi-factor American Monte Carlo simulation engine
incorporating credit correlations, i.e., right- and wrong-way risk, and calibration of relevant
market inputs.
• Solid knowledge of industry standard pricing analytics across the major asset classes,
including Libor Market Model, e.g., BGM, and credit models in the context of counterparty
risk.
• Experience with advanced numerical techniques for fast incremental pricing and calculating
CVA sensitivities a plus.
• Experience with regulatory requirements, especially the Internal Models Method (IMM)
approval process a plus.
Additionally, the qualified candidate will be able to:
• Proactively work with demanding clients and internal software development groups.
• Leverage hands-on, object-oriented programming skills in C++ or Java.
• Collaborate with other quants in sharing modeling ideas and knowledge of industry best
practices.
Our client offers global career development opportunities and a competitive compensation
package, which includes a discretionary performance-based bonus and a comprehensive benefits
package.
