VP - Credit Quantitative Developer C++

Londres, Angleterre, Royaume-Uni

Role Purpose

  • Develop, maintain and support pricing, risk, scenario and capital calculation libraries in C++/python for the loan portfolio management business.
  • Support the replication of the portfolio modelling tools and libraries in businesses to be divested

Key Accountabilities

  • Specific Accountabilities:
    • Correct and accurate implementation of analytic models within the Quantitative analytics libraries, with particular emphasis on loan portfolio modelling
    • Support the replication of Bank’s portfolio modelling tools and libraries in businesses to be divested over a 2 year period

Essential skills:

  • 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

Desirable skills:

  • 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

Qualifications:

  • Masters Degree or PhD in Computer Science, Financial Engineering or another technical discipline (Physics, Engineering, Maths) from a top school.