Credit Quantitative Developer - VP
- GBP70000 - GBP130000 per annum
- Londres, Angleterre, Royaume-Uni
- CDI, Plein-temps
- Charles Levick
- 25 sept. 17
Leading Tier 1 Investment Bank are looking for an experienced C++ Quant Developer with Credit or Loan Portfolio experience. The role is Vice President Level.
My client a Tier 1 Investment Bank is looking to recruit a Credit Quantitative Developer to develop, maintain and support pricing, risk, scenario and capital calculation libraries in C++/python for the loan portfolio management business. You will also support the replication of the firm's portfolio modelling tools and libraries in businesses to be divested
Credit Products Quantitative Analytics
The Credit Products team is responsible for the quantitative models and analytics used in the credit businesses across Markets and Banking Capital and is involved in a wide range of products and activities, including corporate and emerging market bonds, single-name and index CDS, leveraged loans, hybrid capital securities, credit options, bond financing, CDS clearing, syndicate loan commitments, banking book loans, CLOs, and quantitative strategies and risk modeling such as model based risk management, portfolio optimization, and relative value analysis.
The team works closely with the businesses to satisfy their risk management, valuation and quantitative strategy needs. It provides expect quantitative analysis and it works with the technology teams to develop and improve the trading and risk management platforms.
It is a global team located on the trading floors in London, New York and Singapore.
* Correct and accurate implementation of analytic models within the QA libraries, with particular emphasis on loan portfolio modelling.
* Support the replication of the firm's portfolio modelling tools and libraries in businesses to be divested over a 2-year period.
* Key stakeholders are the Portfolio Management business, Risk Managers, the Technology Department, and the rest of QA. The role will require considerable interaction with other company entities, QA Central and the Risk and Analytics Technology teams. The successful applicant should be able to clearly express complex technical issues and requirements, and work constructively with all stakeholders to progress.
* The role requires both evaluative judgement and analytical skills. In particular it will require:
o A methodical aptitude for problem solving.
o Ability to learn quickly.
o Ability to adapt to change and work in a fast-changing environment.
o Initiative to spot potential problems and finds innovative ways to solve them.
o Ability to balance tactical and strategic solutions in line with the overall needs of the bank.
Required Skills & Experience:
* In depth C/C++ knowledge.
* Extensive experience of developing and maintaining quantitative libraries.
* Experience developing in a shared codebase with multiple developers.
* In depth knowledge of software engineering techniques.
* Understanding of loan portfolio modelling (e.g. calculation of economic capital, expected shortfall, VaR)
* Good written and verbal communication in English.
Desired Skills & Experience:
* In depth understanding of modelling credit products.
* Tools and techniques for working within a large C++ class library.
* Experience of coding in python or similar.
* Master's Degree or PhD in Computer Science, Financial Engineering or another technical discipline (Physics, Engineering, Maths) from a top school.