C++ Developer (Rates Modelling / FRTB Rates Quant Modeller)
Posted on Jun 17, 2020 by Pro Contract Direct
C++ DEVELOPER (RATES MODELLING / FRTB RATES QUANT MODELLER)
MUST HAVE (PLS DON'T APPLY IF YOU DON'T HAVE BELOW)
7+ years relevant experience
FRTB rates Quant Modelling
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
NICE TO HAVE
PhD - Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply
The role will require 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.
The candidates 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:-
Derivatives Pricing models
Market Risk/VaR models
Counterparty Risk and CVA methodologies
IMM and Risk-based margins
Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.