C# Quantitative Developer -FRTB - Finance - Contract - London
A Tier 1 Investment Bank is seeking a C# Quantitative Developer to join their London team which is responsible for the development of models, pricing tools and system integration of all flow and exotic models used in the firm, on all asset classes. The successful candidate will help contribute to a project which will help ensure the bank is in compliance with FRTB (fundamental review of the trading book) which is an upcoming regulation.
- Develop and design a system using C# which generates FRTB defined risks and productionise it
- Support quantitative analysis of sensitivities (delta, vega, curvature) and FRTB market risk capital, using in depth knowledge of interest rate products to help ensure the risk generation process is fully in line with the regulatory requirements
- Testing and validation of the FRTB market capital platform
Key skills and experience:-
- Good understating of interest rate products (swaps, swaptions), with a solid understanding of pricing and risk
- In depth knowledge of trade level risks, e.g. has an understanding of curve construction and has a good understanding of zero rate risk, par rate risk and an ability to analyse trade sensitivities
- Good C# skills
- Good Excel/VBA skills
- 5+ years of banking/finance in a FO quantitative analyst role
- Education / Qualifications:
- Bachelors/Masters degree in a highly analytical area
For more information apply with an updated CV today!