C++ Developer / Quant Analyst
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| Job Type | Permanent |
| Area | London City, United Kingdom |
| Sector | ITFinancial Services |
| Start Date | |
| Job Ref | PH9906 |
- Description
Salary: £100,000 - £110,000 – This is a permanent position
Global organisation seeks a C++ Developer / Quant Analyst to join their team in their London offices.
Qualification Requirements
· PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply
Skills Required
· Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
· Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
· Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
· Sound knowledge of standard tools and platforms used in the industry
· Ability to explain complicated concepts with ease to a wide range of audiences
· Expert level programming skills in C++
Role Duties
· Work closely with the model development team of a large financial institution. This will include developing new models, enhancing/improving, maintaining existing models to support the institutions business activities and regulatory mandates
· Have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies: Derivatives Pricing models, Market Risk/VaR models, Counterparty Risk and CVA methodologies, IMM and Risk-based margins
Key responsibilities include:
· Understanding business requirements
· Regulatory guidelines
· Cleaning/transforming data
· Determining appropriate modelling methodologies
· Model construction/testing
· Models implementation
· Integrating models into existing systems
· Model documentation and review
Job Title: C++ Developer / Quant Analyst
Location: London
Salary: £100,000 - £110,000 – This is a permanent position
Job Reference: PH9906
Wilde Associates is working in the capacity of an Employment Agency for this role
