Senior Quant Developer

1 month ago


London, UK, United Kingdom Anson McCade Full time

Senior Quant Developer


ROLE DESCRIPTION

Our client is looking for an experienced C++/Python developer specialising in Structured Equity Derivatives with the ability to lead small teams. You will be expected to:

  • Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
  • Take the lead in delivering large components of that strategy, directing junior members of the team. Working with our IT organisation on their foundation components and ensuring they can run the platform to meet SLAs.
  • Assist the Quantitative Modellers to develop the core pricing library
  • Direct the development of the Quantitative tooling required to support the platform

The role will cover the following agendas:

  • Delivery of the calculation infrastructure required for FRTB IMA regulatory reporting
  • Design and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
  • Design and development of intraday risk and P&L calculations
  • Design and development of market data marking pipelines

You should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams.While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.


ESSENTIAL REQUIREMENTS


  • 7-10 years working as a Quantitative Developer in quantitative finance, IT development, or a trading environment.
  • A degree in mathematical finance, science or maths from a top tier university.
  • Knowledge of the standard pricing models used in the investment banking industry.
  • Five or more years C++ experience (preferably using Visual Studio 2017).
  • Three or more years Python experience required.
  • Previously developed coding standards and extensive experience in CI/CD pipelines.
  • Experience of developing multi-component architectures.
  • Knowledge of distributed computing and serialisation techniques.


DESIRABLE REQUIREMENTS


  • Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
  • Experience of data analysis.
  • Knowledge of the main instruments used in Equities and Equity Derivatives.
  • Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
  • Good knowledge of Excel.
  • Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time.



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