Quant Developer/Analyst // Investment Bank // LDN // Contract
A Global Investment Bank is seeking a C++/C# Quantitative Developer/Analyst to join their London team which is responsible for the development of models, pricing tools and system integration of models. The successful candidate will help in the design and development of new XVA features in the XVA engine, and the upstream and downstream systems.
Rate: up to £700 a day
Length: 6 months initially
- Contribute to the design, development and support of the main XVA engine interacting with the qaunt library
- Design and develop mainly rates models which you will take all the way through to production
- Communicate with the quants/traders/IT to understand and resolve operational issues and new requirements
- Respond to business requests for enhancements, develop new features within the system and provide effective support
Key skills and experience:-
- Excellent development skills in a front office position using C++ or C#
- Understand of derivatives and derivative pricing models
- Understand mathematical finance, particularly around rates or credit models
- Good to have but not necessary: XVA knowledge
Please get in touch by email if you are interested.