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!