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Senior C++ Quant Developer

  • Location: New York, New York, 10013
  • Job Type:Contract

Posted 8 days ago

Terrific 12+ month contract opportunity in New York, New York for a Senior C++ Quant Developer. Will design and develop advanced scenario generation and valuation models for Counterparty Credit Risk Management.
 
Day-to-Day Responsibilities:
  • Design and implement analytical models for counterparty credit and market risk calculations.
  • Support end-to-end model validation and application platform integration testing.
  • Ability to interpret and analyze new regulatory analytics requirements.
  • Mentor junior developers.
  • Maintain up-to-date understanding of the project and communicate, at a variety of levels, the activities, risks, issues, assumptions, dependencies of the project.
  • Manage multiple tasks effectively and independently to meet deadlines.
 
Qualifications:
  • Advanced degree (PhD/MS/MEng) in a quantitative field such as Math, Statistics, Computational Finance or Engineering.
  • 6+ years of hands-on software development experience in C++ (expert programmer).
  • Advanced Quantitative Skills: Numerical Methods, Stochastic Calculus/Probability and Random Processes, Martingale Methods in arbitrage pricing, Statistics/Time Series Analysis.
  • Intimate familiarity with OTC Product space – knowledge of fundamental traded products, valuation methodologies, market data, industry trends, etc.
  • Conversant with build, deployment and debugging processes (on Linux) such as GDB/Make/Makefiles SVN, CVS.
  • Scripting: At least one of the following: Python, Perl, Matlab, R.
  • Must be able to communicate and interact effectively with business users, product quants, project managers and IT stakeholders.
  • Must be well organized and able to meet stakeholder delivery commitments.
 
If this sounds like the perfect fit, Apply Today!