It quant produits de taux - f/h
The Rates IT group is responsible of developing Front Office & Risk application, for the Rates & Credit products. The team, part of the FI Risk & PNL group, is responsible of 2 applications:
An Excel based application for pre-trading activities Valuation Service and a batch system for calculating Risk & PNL on Rates portfolio, via a farm of engines Missions:
In the team, we are looking an IT Quant for a new joiner to work on the Valuation Service application.
The role will be to be involved in project of migrating risks calculations from the booking system (Bloomberg, Murex, Summit...) integration new products scope (Future, bond, Repo, Swaps, Structured products) into Valuation Service, and to integrate within this platform new type of risks.
The developer is in charge of the C++ layer upon the financial library that is used within the grid of engines for calculations of Risk, PNL, VaR, FVA... The work is to be done closely with the Quants team (without being involved in model development), and the rest of the VS developers.
The project the BA will be involved in is consisting in the UK to separate GBM and network system. In this aspect, the BSM desk will need a proper systems to manage all their Risk & PNL: the existing one will then need to be extended to cover more products and portfolio. Profil recherché:
- IT and Financial background
- 3 to 5 years of experience, with at least one IT Quant experience in a bank.
- Great skills on C++
- Skills on other language will be highly appreciated: Python, C#, VBA, Java
- Skills on Finance (both mathematical and financial), mainly regarding Rates products (Swaps, Bonds, Swaption, Cap Floor...) will be highly appreciated
- Great management on stress and Front Office attitude
- Good communication and very good English spoken.
- Autonomy and ability to take decisions
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