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