Assistant Vice President, Quantitative Developer

The Counterparty Credit Risk Quant Development Team, a key group within the Markets Quantitative Analysis Organization, is responsible for developing cutting-edge analytical models for derivatives risk and exposure calculations Firm-wide. The scope of this dynamic role extends from contributing to the research into the mathematical derivation of quantitative models, through meticulous coding, rigorous testing, comprehensive documentation for formal validation and approval, and finally to supporting the delivery of these models for seamless incorporation into the Firm's internal and regulatory risk management processes.

The role will involve tasks such as:

• Development and maintenance of critical quant infrastructure, databases, and productivity tools.
• Contributing to the development infrastructure of the in-house model libraries.
• Contributing to the development and maintenance of distributed computing, testing infrastructure, and connected web-based interfaces.
• Participating in general efficiency improvement and optimization efforts within the analytical libraries.
• Collaborating with IT teams to integrate analytic libraries.
• Assisting in the build, testing, and release management of the model libraries.
• Contributing to Regulatory and Governance-based projects, particularly those related to Counterparty Credit Risk (CCR) such as Basel IMM, PFE, CVA, and RWA calculations, across a range of asset classes.
• Performing data analysis and generating regular reports.

Required Skills:

• Prior relevant experience in a Quantitative Developer role or alternative Python development experience.
• Proficiency in Python programming, a proven track record of Python projects, and testing experience with pytest.
• Proficiency in web development with React is a significant advantage.
• A good understanding of distributed infrastructures (MQs, service discovery, AsyncIO, SQL, Elastic Search, MongoDB) is an advantage.
• Strong analytical and problem-solving skills are an advantage.
• An understanding of derivatives pricing, risk, and exposure calculation concepts is an advantage.
• Familiarity with Counterparty Credit Risk (CCR) calculations, including Basel IMM, Potential Future Exposure (PFE), and CVA methodologies, is an advantage.
• Experience with calculation grids and grid computing concepts is an advantage.
• Hands-on experience with Linux commands and shell is an advantage.
• Knowledge of Equity derivatives pricing, including concepts like stochastic volatility models, variance swaps, and basic exotic structures, is a plus.
• Exposure to Regulatory-based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is a plus.
• A meticulous and detailed approach, with a commitment to accuracy, is essential.
• Ability to follow established procedures and operate within guidelines.
• Excellent verbal and written English communication skills.
• Ability to take ownership of tasks and proactively follow up on issues.
• Demonstrated ability to work effectively in a team and to adapt to a fast-paced, high-pressure environment.

Education:

• BSc / MSc in Software Engineering, Computer Science, Natural Sciences, or Economics

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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