Description
Quantitative Analyst with strong C# programming skills required by leader in Global Banking to join a team which is tasked to build, alongside IT, a new architecture to calculate counterparty risk and capital numbers.
This will be used for Counterparty risk hedging, Funding Risk monitoring and hedging, Leverage Ratio calculation and monitoring, Counterparty Risk Capital pricing and monitoring, and other capital measures that need to be done at portfolio level
The role will participate in this major multi-faceted project and work within the team to help deliver this new platform.
The job covers the following tasks with the prioritisation being done by the quant team:
*Implement market deformation scenarios for risk management
*Optimisation of various aspects of the grid computing based batch (performance, stability, logging, error reporting).
*Interaction with IT Dev team to construct shared modules for input/output data exchange
*Interaction with IT Dev team to construct a PnL explain tool
*Optimisation of internal data transfer and access to the machines on the compute grid
*Interact with the team responsible for the pricing GUI
Essential
*Hands on experience with C# gained in a professional environment
*At least one previous experience working on large and complex libraries/projects
*Basic knowledge of the various Fixed Income, FX and credit derivatives products is required (product payoffs and how they work)
*Knowledge about counterparty risk (CVA), funding costs (FVA), collateralisation either via previous work experience or personal studies.
*Strong scientific education: PHD not required but master level with specialities related to one of these subjects: mathematics, probability and statistics, mathematical finance, numerical analysis.
Desirable
*Knowledge about mathematical finance theory: option pricing, risk neutral pricing, knowledge of classical interest rate and FX models
*Experience of numerical techniques like Monte-Carlo simulations
*Knowledge of American Monte-Carlo techniques
*Experience related to Fixed Income products risk management (development of risk systems, PNL explain, market perturbation engine )
*Working experience related to grid/distributed computing and related subjects (data transfer, performance optimisation, efficient grid splitting, logging )
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