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Senior Quantitative Developer

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

Posted 3 months ago

Grow your career as a Senior Quantitative Developer with an innovative global bank in New York, NY. Long-term contract with excellent growth potential. Will be required to be onsite 2-3 days per week. Will assist with continuing integration of Front Office Pricing models in counterparty credit risk exposure calculations. Focal point will be the further development of the company’s counterparty credit risk framework by supporting the inclusion of new products and the associated pricing models, across asset classes such as commodities.
 
Responsibilities:
  • Contribute to the integration of new derivatives products into the counterparty credit risk framework.
  • Conduct data analysis.
  • Develop model and integration code (C++/Python) based on provided specifications.
  • Conduct performance testing of new products.
  • Prepare model documentations to high standards.
  • Support model risk management process, i.e., provide ad hoc analysis to justify modelling assumptions and/or test results.
 
Qualifications:
  • Master’s degree/PhD in a quantitative discipline.
  • 5+ years of experience in a quantitative role with sell side institutions.
  • Must specialize in derivatives.
  • Expertise in coding, developing and testing libraries in C++ and Python on Linux and Windows platforms.
  • Good understanding of financial products and markets.
  • Experience working with technology teams on model implementation
  • Risk Management full model development cycle.
  • Prefer experience in the whole model development cycle, i.e. mathematical proposal, prototyping, documentation, validation, approvals from senior stakeholders, release to production.
 
About our client
 
Our client stands as one of the worlds most renowned global banks and trusted brand with over 200 years of continuously evolving financial services. Its teams provide unique insights to more than 200 million clients and enable progress all over the world. While growing your career, you will work alongside some of the smartest minds in the industry who are excited to share their knowledge and to learn from you.