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The Quantitative Risk Developer position offers an excellent opportunity to support the Front Office business in London accounting for risk analytics across IR Exotics and Structured Derivatives traded globally for the Investment Bank.
Principal duties -Quantitative Risk Developer Exotics / Interest Rates:
As a Quantitative Risk Developer you will work with the London team to undertake detailed technical quant risk analysis of traded Interest Rate Swaps and Exotics, understanding all aspects of pricing and ensuring the risks are correctly reflected in the risk models and quant libraries utilised by Quant Risk Management Group and Investment Bank in London.
Using in in-house analytics tools for pricing you will than proactive delivery improvement to in C++, C# and Python code and deliver improvements across risk models and risk systems.
The Quantitative Risk Developer will work with cross functional stakeholders across the Front Office, Quant Risk Managers, IT and Senior Management working on day to day Exotic IR risk products and ensuring a robust quant risk management framework is utilised by the Investment Bank in London and the regions.
Prerequisite Requirements -
Proven Investment Banking experience and technical knowledge of pricing derivatives with specific focus across Interest Rate Swaps, (Flow - Caps and Floors) and Exotic and Structured derivatives be crucial in the ability to perform the role.
The ability to understand all technical pricing aspects including discounting, stripping, bootstrapping and yield curve analysis, with applicants asked to clearly document and evidence exotic and structured interest rate coverage.
Advanced Coding and Programming experience in C++ being a must with C# and Python being secondary requirements.
Strong communication skills with the ability to break down technical structured products and clearly communicate with Quant Risk Managers, IT and Senior Management.
The Investment Bank is currently in delivering strategic and tactical projects aimed at streamlining and improving the Exotic and Structured Quant Risk Management group in London and the Quantitative Risk Developer will be central to delivery these improvements and quant risk efficiencies.
This is an excellent opportunity to secure a long term ongoing contract opportunity with a leading Investment Bank in London with excellent daily rates on offer to compensate the Exotic and Structured products covered by the team and coding in C++.
Please apply early to avoid any disappointment and candidates will be expected to provide a detailed break down across pricing interest rate derivatives and coding expertise in C++.