Description
Quantitative Developer - London - Investment Bank - Front Office - CVA
Contract Position - £500 - £680 per/day
We are looking for a Quant developer to work for a Tier 1 Bank in London, working within the Risk Analytics team.
Essential Skills: C# or C++, Monte Carlo or VaR, Antlr, WPF, .NET, HTML5,
Please note there are 3 positions available, each having their own required skill set.
1) Replacement trade language developer: This position requires building languages to represent trades to the Monte Carlo engine. (Compilers, Antlr, Lex&Yacc)
2) Library Developer: (Monte-Carlo, CVA/FVA, C#, C++, Refactoring)
3) Infrastructure Developer:Business focused role, capable of Front to Back using WPF/HTML5, Grid compute.
- Computer Science background
- C# Front End development
- WPF/HTML5
- Strong communications with the ability to get the buy in from the Front Office
- Ideally previous experience of working on a Real Time counterparty risk system
- Must have hands on coding experience
Description:
The Risk Analytics team is a Front Office quant team whose main responsibility is design, develop, and implement models to compute, price and hedge counterparty exposure and portfolio risk measures for all type of transactions, including exotic, across all asset classes.
A successful candidate should:
- Work with traders, structurers and quants to deliver next generation of pricing and risk management tools for portfolio based analytics (CVA, DVA, FVA, RWA).
- Be a technically strong software developer at ease with delivering intuitive UIs and solid infrastructure components.
- Have experience with low-latency grid based computations for large portfolios.
- Implement a suitable Risk Analytics software architecture. Currently Risk Analytics is written in C# (under .NET)
- Work with different businesses to analyse counterparty risk, compute credit valuation adjustments (CVA), and Upfront Charges (UFC). Assist client facing business areas in reducing and optimising counterparty risk and capital requirements.
Requirements:
A strong degree in Finance, Physics, Mathematics, Computer Science, Engineering, or related field plus experience in the job offered or related occupation. Experience preferably include working with mathematical models in Front Office systems; supporting trading desk in risk assessment and product pricing; programming using C++, C# (or other Object Oriented language) under Windows. Desirable experience in building code for large applications, both client and Server Side.
If you would like to apply this position, and have all the required experience. Please email your CV.