Description
Role
The candidate will work in the FO Quantitative Research team and will develop within the production in-house quant library code base in C++. The candidate will have continuous interaction with the rest of the quant team, as well as business stakeholders. The successful candidate has exceptional C++ skills and has 7y+ experience working as a quantitative analyst within a large quant library for a major financial institution. The candidate should have strong product knowledge in at least one asset class, with extensive experience working within an Object Oriented code base for the creation of market data objects, instruments and pricing engines, interacting with pricing models for both pricing and calculation of risk reports. Ideally, the candidate has experience delivering pricing analytics within an in-house FO application.
The ideal candidate has a degree in a quantitative subject: maths, physics, engineering, statistics etc. A post-graduate education level (PhD or equivalent) is desirable.
The candidate has the following experience and skills set:
7y+ experience working as quantitative developer in a large quant library within a major financial institutions, with Front Office or market risk focus;
exceptional C++, with strong capacity of abstraction and design skills;
strong knowledge of atleast one asset class - interest rate, FX, inflation products etc.
strong analytical and numerical skills, with desirable skills in statistical techniques used in the computation of VaR, expected shortfall etc.
fast learner who can quickly become autonomous and take projects forward;
dynamic attitude with an ability to easily switch from one project to the other as priorities might change along the way;
strong attention to detail as accuracy is of the essence in such a role;
educated in a quantitative subject or computer science; and
a post-graduate education level (PhD or equivalent) is desirable