Quantitative Developer

  • Competitive
  • London, England, United Kingdom
  • Contract, Full time
  • UBS.
  • 29 Sep 16

UBS Investment Bank based in London is seeking an experienced Quant Developer to build out and evolve its XVA and Capital pricing capabilities.

Description

UBS Investment Bank based in London is seeking an experienced Quant Developer to build out and evolve its XVA and Capital pricing capabilities.

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 traditional XVAs and Capital eg CVA, FVA, IMM model for Credit RWA and upcoming and emerging measures eg SIMM, MVA.


The responsibilities of the role include:
• Working with traders and risk managers to define and implement pricing capabilities for XVA and Capital measures.
• 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 Capital Exposure calculation engine.

Candidates requirements include:
• 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.