FO Pricing C++ Quant Developer FO Pricing C++ Quant Developer …

Scope AT
à Londres, Angleterre, Royaume-Uni
CDI, Plein-temps
Dernière candidature, 23 sept. 20
Competitve
Scope AT
à Londres, Angleterre, Royaume-Uni
CDI, Plein-temps
Dernière candidature, 23 sept. 20
Competitve
C++, GIT, model development, market data, Quant libaries,

Role

  • You will be working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank's business activities and regulatory mandates.
  • You are required to have sound knowledge and exposure to pricing models across different asset classes.

    This will include exposure to any of the following methodologies:
  1. Derivatives Pricing models
  2. Market Risk/VaR models
  3. Counterparty Risk and CVA methodologies
  4. IMM and Risk-based margins

Skills Required

 

  • C++ (8 years min)
  • Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
  • Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
  • Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
  • Sound knowledge of standard tools and platforms used in the industry
  • Ability to explain complicated concepts with ease to a wide range of audiences.
  • Expert level programming skills in C++.
  • Good communication skills, team-work and flexibility.

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