Vp - Derivatives Risk Senior Quantitative Developer - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

The scope of this work extends through coding, testing and documentation of the models for formal validation and approval, and finally to delivering the models into the Firm's internal and regulatory risk management processes.

The role will involve tasks such as:
Work on general efficiency improvement and optimization of the Counterparty Credit Risk calculators
Support and improve grid computing and transition to cloud
Work on Regulatory and Governance based projects across a range of the asset classes

Qualifications:

6+ years of quantitative experience
Proven track record of developing and supporting analytics library for derivatives pricing and risk. In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantage

- experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage

Solid mathematical finance and statistical analysis skills
Knowledge of probability and stochastic calculus
Familiarity with Numerical analysis/Monte-Carlo methodsExperience developing software for Windows and Linux
Good command of programming using Python, C++
Good command of scripting using UNIX Shell (ksh, bash, etc), Python and VBA
Knowledge of Relational Databases (Mongo, etc) databases is a plus
Knowledge/experience with Machine Learning Tools (scikitlearn, Teano, Keras, etc) and Cloud based computing is a plus
Outstanding analytical and problem solving skills
Thorough and detailed approach to accuracy are essential
Ability to follow procedures and operate within strict guidelines
Excellent verbal and written English
Ability to take ownership and proactively follow up on issues
Ability to work in a team and to work well under pressure

Education:

Master's degree or equivalent in computer science, mathematics, engineering or physics.
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

-
Job Family Group:

Technology

-
Job Family:

Applications Development

-
Time Type:

Full time

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

View the "
EEO is the Law " poster. View the
EEO is the Law Supplement.
View the
EEO Policy Statement.
View the **Pay Transparency Posting