Greater London, England, United Kingdom
FO XVA Quant Analyst at MUFG Previous VP Quant Analyst within Citi's model risk management team. Expertise in FX (LV, SV, LSV models) with secondary experience of Equities & Hybrids modelling. Entry into finance was as a FO rapid application developer at Commerzbank on the indices and strategies structuring desk. Hold a Physics PhD and a 1st class MSci degree in Mathematical Physics, both from the University of Nottingham. Have an interest in ML, Blockchain and their wider applications within quant finance.
Enhancing the XVA pricing engine Projects: Trade integration into XVA engine, Equity Initial Margin handling, Benchmark reform. OIS to RFR for Euro Swaptions Coding in the main library in C# (.NET, Git)
FX model validation
.Net RAD developer on a front office structuring desk. The desk develops Equity, Commodity & Fixed Income systematic trading strategies including alpha style absolute return trading strategies and beta style thematic indices Role includes providing automated management of the strategy pricing and trading process