Front Office Quantitative Developer - Contractor

  • GBP600 - GBP650 per day
  • London, England, United Kingdom
  • Contract, Full time
  • McGregor Boyall
  • 21 Sep 16

Front Office Quantitative Developer - Contractor Credit Derivatives / XVA / Counterparty Risk / Monte Carlo / C# / R

Front Office Quantitative Developer - Contractor

Credit Derivatives / XVA / Counterparty Risk / Monte Carlo / C# / R

This leading and diverse Derivatives marketplace is looking for a Quantitative Developer with good C# knowledge. The business objective is to start clearing a specific Credit Derivative instrument in 2017. This comes in addition to the existing offer in that asset class (CDX and indices).

The quant team's project consists in designing and bringing to production the associated model. That model will be used mainly for margining and risk management, and submitted to regulatory approval.

It will follow a parametric Monte-Carlo approach akin to CCR (XVA/IMM) frameworks, calibrated on historical data.

The task of the contractor is to


  • Refactor and rationalize the existing Credit prototyping C# library (supporting CDX and iTraxx)


  • Implement and test the new model within that library

  • This is a technical quant role, with no managerial but some project management duties.

    Experience / Education


  • CCR (XVA / IMM) frameworks and/or Monte-Carlo engines
  • Credit Derivatives
  • R and SQL languages
  • Senior Quantitative Developer, an architect with good C# knowledge.
  • MSc or PhD in computer science, quantitative finance or similar discipline
  • Industry experience in sell-side or buy-side

  • McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.