Front Office Quant Dev, Libraries Platform (VP/D), (XVA, IMM, FXO) London

London
Ref: QDLP-0704
Up to £250k Total + Benefits
Top-tier Investment Bank
Modern C++ & Python, Analytics Libraries, Risk Modelling, IMM, XVA, CCR

The Risk Quant team at  this top-tier investment bank, provides models and best-in-class applications and libraries as well as live pricing tools and e-Trading analytics.  They now seek a Quant, Quant Dev to build out the global analytics library and provide modelling & deep implementation expertise across XVA, IMM, FXO models and library infrastructure.  Great opportunity to join a front office strat team at this top-tier investment bank!

KEY RESPONSIBILITIES:

  • Assist the Platform Engineering team to develop & support the new pricing, risk and P&L system
  • Develop the infrastructure of the global analytics library and help the Quants with complex modelling & integration issues.
  • Develop solutions to improve integration of the application stack with the various functions across Group Analytics
  • Enhance in house tools to deploy the library to Spreadsheet users and Risk and PnL systems
  • Improving the continuous test and integration environment to support the analytics developers.

KEY SKILLS & EXPERIENCE:

  • Strong programming in either C++ or a functional language to develop models & applications in a high pressure environment
  • Solid experience of infrastructure and database technologies (eg. MySQL, Oracle)
  • Modelling and implementation of XVA, IMM, FXO models
  • Strong knowledge of Quant Library infrastructure components 
  • Great communication skills to work in a dynamic, front office trading environment 
  • Masters in Maths, Physics, Comp Sci, Engineering