Counterparty Credit Risk Quant Dev - Assoc/VP level - London, United Kingdom,
British Pound . GBP -
Counterparty Credit Risk Quant Dev - Assoc/VP level
Our client is a pioneer and industry leader in counterparty risk measurement and management. Counterparty risk has become a key focus for the financial industry and regulators in the wake of the financial crisis.
The Quantitative Research Group for Counterparty Credit Risk (QR CCR) is responsible for developing and supporting models to measure counterparty risk in the investment bank. The group is also responsible for the wider XVA modelling e.g. modelling funding valuation adjustments (FVA) as well as credit risk capital. Counterparty risk models are highly complex cross-asset class portfolio valuation models.
- Implementing a wide variety of software including: product payoffs, frameworks for pricing and risk management and pricing algorithms and models.
- Supporting, upgrading, and debugging the software, partnering with other Quants, Traders, and Technologists.
- Liaising with technology groups to deliver the analytics to systems for use by the business.
- Supporting other Quantitative Researchers with programming and technology issues.
Essential skills, experience and qualifications:
- Must have exceptional C++ development skills in a numerical (scientific) programming setting.
- Prior experience in Python an advantage.
- Strong analytical and problem solving abilities.
- Good communication.
- Degree educated or equivalent in a technical discipline.
Desirable skills, experience and qualifications:
- Strong C++ design skills.
- Professional software development experience.
- Experience in High-Performance Computing (e.g. grid computing, GPU).
- Knowledge of basic options pricing.
- Knowledge of basic probability theory.
- Banking experience is a distinct advantage.
Additional information: while professional experience of option pricing is not essential, the successful candidate would be expected to have started preparatory study in this area.