Your role : Are you passionate about driving change and keen to be part of a multi-disciplinary team driving successful outcomes for the firm? Are you an experienced Quantitative Analyst? Do you have an interest in exploring optimization and alternative approaches?
The Portfolio Quantitative Analytics team is a front office Quant group providing pricing and exposure models, analytics and tools to traders and risk managers globally. They cover modelling both traditional XVAs and Regulatory Capital eg CVA, FVA, IMM model for Credit RWA, SIMM and upcoming and emerging measures eg MVA, KVA, FRTB.
Within this context, the Quantitative Developers are responsible for:
- Working with traders and risk managers to define and implement pricing capabilities for XVA and Capital measures.
- Bridging Quantitative Analysts with the tools, design, data and technologies to enable business change.
- Delivering high-quality working software translated from business and quant driven requirements.
- Partnering with core IT functions to align and integrate pricing capabilities with existing pricing systems and the Capital Exposure calculation engine.
Typical candidate requirements could include the below, but an aptitude at solving and delivering at the cross section of business problems, quantitative problems and technology problems is key.
- Strong background in derivatives pricing and risk management in any asset class or CVA / FVA.
- Strong technical background in C#, with a degree in Computer Science, Mathematics, Engineering, or a related discipline.
- Capability to deliver across a front to back software stack including user interface, service tier, distributed compute and analytics library.
An interest in exploring optimization and alternative approaches is also encouraged, for example Vectorization, Optimization, Numerical Methods, Distributed Grid Compute, DSLs, and Automatic Differentiation.
This is a contract role via Hays Talent Solutions,