CVA C++ Quantitative Analyst/Developer

London  ‐ Onsite
This project has been archived and is not accepting more applications.
Browse open projects on our job board.

Keywords

Migration C++

Description

CVA C++ Quantitative Analyst/Developer / Investment Bank / Contract / London / £600 - £680 per day

Our investment banking client based in London is currently seeking a highly skilled C++ Quant developer/analyst to work on the design and build of the banks core XVA system. Your role will include both the development of their quantitative analytics code on top of an existing in-house pricing library and interaction with the CEM trading desk. This position is to essentially add C++ skills to the team in order to do the following:
* Integration of pricer into CVA pricer and risk engine
* Migration of existing counterparties
* Input to the model validation process

Essential:
Expert C++
CVA Exposure
Pricing (Interest rates and FX derivatives primarily)
Monte Carlo Simulations
Experience working with a large Quant library

In order to be successful you will need to demonstrate C++ abilities and have a proven track record in OO design, pricers, algorithmic development, code optimisation, memory management with strong aptitude and analytical skills in order to quickly grasp the quantitative aspects of the CVA business.

The candidate must be able to work in a highly dynamic environment with demanding users. The successful candidate will gain excellent exposure to the business area and products as well as the opportunity to work in a technically challenging, delivery focused environment.

They're offering 6 month rolling contract and they're looking at taking someone on in the next 1-4 weeks time. If you're interested then please email me your up to date CV or give me a call on .

CVA C++ Quantitative Analyst/Developer / Investment Bank / Contract / London / £600 - £680 per day
Start date
02/2015
Duration
6 months +
(extension possible)
From
Real Staffing
Published at
05.02.2015
Project ID:
845560
Contract type
Freelance
To apply to this project you must log in.
Register