Derivatives Pricing Modeler
14 hours ago
The Derivatives Pricing Modeler will be responsible for developing, testing, and maintaining the ACE application, which is used for internal risk management and regulatory capital purposes. The role will involve tasks such as:
• Development and maintenance of in-house Python and C++ model libraries
• Working with Front Office teams to integrate quant library/technology enhancements into the codebase
• Supporting the build, testing and release management of the credit risk application
• Work on Regulatory and Governance based projects across a range of asset classes
• Performing data analysis and producing regular reports
Requirements
• Solid mathematical finance and statistical analysis skills
• Excellent verbal and written English
• Excellent command of programming using Python and C++
• Experience developing software for Windows and Linux
• Good command of scripting using UNIX Shell (ksh, bash, etc)
• Proficiency with version control software like Git, TortoiseSVN
Estimated Salary: $160,000 - $220,000 per annum
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