C++ C# Quant Developer - Risk Pricing PnL FX Options x 2 - INVESTMENT BANK

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C++ C# Quant Developer - Risk Pricing PnL FX Options x2 - INVESTMENT BANK

C++ Quant Developer is required with strong knowledge derivative products and experience of working on large scale pricing libraries. Strong level of C++ and ideally C#, as well as a good knowledge of risk and P&L Explain for Fixed Income products. Extensive experience with C++ / C#. Experience with ADA or Python a plus: Participation in large scale projects. Object oriented programming. Strong knowledge of derivatives products. Experience working with large scale quantitative library (Risk, Pricing, P&L Explain) is essential. Comfortable with large scale libraries and working with different profiles (quants, IT etc.) Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization. Good interpersonal skills given the numerous actors in this re-engineering project. Masters degree or PhD.Able to work autonomously within the requirements of the project and the quant team. A flexible, hands-on attitude and willingness to make things happen.

Role:

This project a unified risk engine allowing the generation of consistent risk scenario for all asset classes has been designed. Alongside Senior Credit quantitative analysts and architects, the role will involve:

           Adapting the Credit library to be Meta-CPS compliant

           Extending the capacity of this engine to generate flexible stress test and complex market scenarios

           Implementing the Step-Revaluation P&L Explain in line with the methodology defined by global Markets quantitative research

This role will require both a very strong level of C++ as well as a good knowledge of risk and P&L Explain for Fixed Income products.

All tasks above are to be conducted with the supervision of the quantitative team to ensure consistency between different asset classes.

Applicants must be eligible to work in the specified location

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