VP, Quantitative Developer (C++)
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 16 Jan 17
Seeking a VP, Quantitative Developer (C++)
My client a Tier 1 Investment Bank is looking to recruit a VP, Quantitative Developer (C++) to work in the Trading Book Risk team. The role will include research, prototyping, implementation and documentation of counterparty credit and/or market risk models, specifically to meet new challenges introduced by the new regulatory environment, including the Fundamental Review of the Trading Book (FRTB).
The Quantitative Analytics group is responsible for the research, development and implementation of market leading quantitative models across all asset classes and areas (Interest Rates, Inflation, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, Market Risk, Counterparty Credit Risk, Banking Book, Asset and Liability Management and Financial Modelling).
Key specific accountabilities:
* Research and development of Market Risk methodologies (VaR/Stressed VaR/IRC/FRTB)
* Maintenance of current risk applications and models.
* Liaise with the Risk Managers and Regulatory Liaison regarding the models and methodologies delivered and their request for modifications, enhancements and new developments.
* Deliver prototypes using or extending as appropriate our Python-based modelling platform.
* Develop the models in C++ and assist IT to integrate them into the production system.
* Participate to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework.
* Support Risk, FO and IT users of our analytics. Stakeholder management and leadership
* Good project management skills; ability to work and deliver within tight deadlines.
* Strong interpersonal skills and a team player.
* Ability to work well in a fast-paced environment with changing priorities.
Essential Skills & Experience:
* Strong quantitative & analytical skills: The role requires a strong quantitative modeling background based on a PhD or Master's Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
* Domain of expertise in any combination of (2 or more products) Equity, Commodities, Interest Rates, Inflation, Credit or Foreign Exchange.
* Experience in developing or validating market risk, or quantitative pricing models.
* Track record of producing high quality written communication, and presenting to technical and non-technical audiences.
Preferred Skills & Experience:
* Familiarity with Regulatory requirements for Market Risk models.
* Experience in developing or implementing short horizon risk (VaR) models.
* Experience in delivering production quality code in a large shared quantitative library, including use of source control, continuous integration, unit and regression testing.
* Track record of leveraging rapid prototyping environments like Ipython notebook, Matlab, R, or similar for research and model development.