Quant Developer

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IMPORTANT. A Master degree in a numerate subject such as Mathematics, Financial Mathematics, Physics, Engineering. Experience and sound knowledge of development and/or validation of derivatives pricing libraries is key to this particular role. Ideally, experience would span:

- Vanilla and exotic products (e.g. early exercise/barrier options, convertible products, etc.);

- More than one asset class (IR/Fixed Income, FX, Credit, Equity);

- Pricing and basic risk analytics (e.g. Greeks).

Experience in coding, covering at least one between Python and C#; experience in C++, Java, R, and Matlab are all a plus. Excellent verbal and written communication skills.

DESIRABLE. Market risk, including VaR, Backtesting, Stress testing and Expected Shortfall. Model validation (Market/Credit Risk, pricing or liquidity models). Trading book credit risk management, Counterparty Credit Risk metrics (e.g. PFE) and XVA, liquidity risk management, regulatory reporting, margining and collateral for bilateral and cleared derivatives. Bespoke or vendor trading / risk systems validation, development or management. Production-level software implementation. Prior experience in  investment banking, trading or asset management environment. Financial regulations, such as: Basel, Dodd-Frank, MiFID and FRTB.


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