Quantitative Risk Analyst

4 weeks ago


London, UK, United Kingdom BGC Group Full time

RISK QUANT DEVELOPER


Summary

Capitalab, 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 Description

The 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.

Capitalab 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.

You will be working as one of the early joiners of the division, with a huge potential to grow an already successful business.


Essential:

  • Excellent knowledge of C# development skills and techniques
  • Good knowledge of SQL databases (preferably MS SQL)
  • Knowledge of mathematical optimisation and tools (ex. Gurobi or NAG)
  • Development experience in Python
  • Web development experience in JAVA and Angular
  • Familiarity with financial mathematics, derivative pricing and risk management
  • Appreciation of good software architecture including design patterns & SOLID principles

Experience with unit test frameworks, mocking frameworks and patterns for testability.


Desirable:

  • Strong knowledge of FX Options pricing and risk
  • Strong knowledge of numerical algorithms (optimisation, interpolation, linear algebra)

Previous commercial experience with Gurobi or NAG optimisation tools



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