Quantitative Risk Analyst

3 weeks ago

Camden Area, United Kingdom BGC Group Full time
RISK QUANT DEVELOPER

SummarynCapitalab, a division of BGC Brokers, is looking for highly talented, quantitative, energetic, confident, delivery-oriented quantitative analysts to work within the Capitalab front-office development team, which is split across London, Singapore and Toronto.

Group DescriptionnThe Capitalab division is a quantitative financial technology group within BGC, founded in 2015, responsible for optimising portfolios of financial derivatives for global investment banks and non-bank liquidity providers. Based in London, Singapore and Toronto, the teams work directly with Capitalab management to develop innovative, revenue-facilitating, market-leading services within the industry.nCapitalab focuses on multilateral derivatives compression and optimisation. It has eliminated over $10 trillion of gross notional and generated over $30 billion of Initial Margin savings for its global clients across Interest Rate Options (Swaptions + Cap/floors), Interest Rate Swaps (cleared and non-cleared), Cross Currency Swaps, Listed Equity Index Options, FX Options and FX Forwards portfolios, with 40+ major institutional clients participating in 300+ successful optimisation cycles.nYou will be working as one of the early joiners of the division, with a huge potential to grow an already successful business.

Essential:nExcellent knowledge of C# development skills and techniquesnGood knowledge of SQL databases (preferably MS SQL)nKnowledge of mathematical optimisation and tools (ex. Gurobi or NAG)nDevelopment experience in PythonnWeb development experience in JAVA and AngularnFamiliarity with financial mathematics, derivative pricing and risk managementnAppreciation of good software architecture including design patterns & SOLID principlesnExperience with unit test frameworks, mocking frameworks and patterns for testability.

Desirable:nStrong knowledge of FX Options pricing and risknStrong knowledge of numerical algorithms (optimisation, interpolation, linear algebra)nPrevious commercial experience with Gurobi or NAG optimisation tools

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