Lead Quant Hybrid role - C#
London, England, United Kingdom
We are searching for a candidate with both a strong quantitative and software development background. The ideal candidate would be someone comfortable working both as a development lead and as a quantitative analyst, the job encompassing both skill-sets. The work scope comprises the full range of risk measurement methods in the team’s remit, across asset classes and across counterparty risk and market risk perimeters. Examples include counterparty risk models, pricers and model calibrations, as well as market risk simulations and pricing methods.
The candidate would take a lead role in system design, construction and maintenance and would also be expected to contribute actively to risk methods. The work would be a mix of Greenfield projects and adaptation of existing systems.
Skills & Experience Required:
To be successful in this role, the candidate should meet the following requirements:
- A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance;
- Design and implementation of quantitative models using C#; excellent general coding skills
- Experience with source control (e.g. SVN), familiarity and enthusiasm for unit testing and continuous integration (e.g. using tools such as TeamCity)
- Proven experience in a quantitative finance environment – knowledge of asset simulation and stochastic models is a must;
- Practical knowledge of derivatives, their risk drivers and pricing models;
- Exposure to one of the following asset classes: credit, repo, IR/FX, equity, commodities;
- Understanding of large production systems, both from algorithmic and performance perspectives;
- Good grasp of the current regulatory framework (especially FRTB) and its implications on banks’ operations constitutes a significant plus.