Senior Quant Developer - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

2 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

ACE Quant Development Team is a group within Citi Institutional Client Group (ICG), responsible for developing the analytical models which are used for derivatives credit risk and exposure calculations Firm-wide.

The role will involve tasks such as:

Development and maintenance of the in-house C++ and Python model libraries
Identifying and developing calculation optimisation improvements
Working with Front Office teams to integrate quant library/technology enhancements into the codebase
Work on Regulatory and Governance based projects across a range of the asset classes
Providing regular development updates to stakeholders
Performing data analysis and producing regular reports

Qualifications:

6+ years of quantitative experience
Excellent command of programming using C++ and Python
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 methods
Experience developing software for Windows and Linux
Good command of scripting using UNIX Shell (ksh, bash, etc)
Experience working collaboratively within large development teams
Proficiency with version control software like Git, TortoiseSVN
Familiarity with CI/CD pipeline technologies like Jenkins preferable
Outstanding analytical and problemsolving 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 (PhD preferred) 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.

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Job Family Group:

Technology

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Job Family:

Applications Development

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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.

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