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The Credit Derivatives Quantitative Analysis team creates, implements and supports the models for the Credit Derivatives Division. As part of the front office, the team supports the trading business in all quantitative aspects.
This is ideally for a VP level Quantitative Developer to join the Quantitative Development group and work on the analytics libraries used for Credit Derivatives pricing and risk-management.
You will report to the head of the Credit Derivatives Quant Development group. You will work on a variety of projects, designing and implementing code in C++ into the Credit Quant library to meet business and technical requirements. Some projects may be focused on a specific piece of functionality required by the Traders, while others may be aimed at implementing a department-wide strategy. You will be exposed to a wide variety of mathematical and computer sciences problems ranging from implementation optimisation to interface design. You will be fully integrated into the front office Quant team and will work in close collaboration with the Traders, Structurers and members of Technology.
Qualifications and Competencies:
Degree in computer science or a mathematical subject (Maths/Physics/Engineering etc).
Strong background in computer science is required. Significant experience in key languages (C++, C#, Java, Python) is vital (C++ is ideal) and exposure to mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo Methods, PDE solvers...) is preferable.
Show keen interest in the financial markets.
Show keen interest in implementation of models and the architecture of model libraries.
Strong teamwork capability.
Ability to focus on major projects, and deliver promptly, whilst juggling the day to day requirements that come up.
Ability to communicate progress and importance of projects to non-technical clients of the Library.
Front Office development experience is advantageous, particularly those with Equity Derivatives experience.