Quantitative Developer Quantitative Developer …

BSM Group
in London, England, United Kingdom
Permanent, Full time
Last application, 24 Aug 19
competitive
BSM Group
in London, England, United Kingdom
Permanent, Full time
Last application, 24 Aug 19
competitive
A leading Investment Bank is looking to hire a VP level Quantitative Developer, to research and develop their model library using C++ and Python. This will include prototyping, production implementation, testing, maintenance and support of models for FRTB.

Responsibilities:

  • Develop new models in C++ or Python
  • Design and develop Market Risk solutions
  • Ensure integration into the Risk engines framework

Required Skills:

  • Strong development experience and ability to work around data quality issues
  • Understanding of the Market Risk concepts and FRTB framework
  • Experience developing VaR models
  • Experience with Python 
  • Knowledge of technical concepts such as monte carlo and historical simulation
  •  

Please submit a copy of your CV for further information.

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