Quant Developer - BFSI

Quant Developer

Job Description :

- The role will require development of the underlying mathematical models and analytical tools used by the FX, Fixed Income, Credit, or Equities desks

- To design, develop, test and document the models developed to standards

- Develop technical solutions for the desk as required

- To provide rapid fixes to any issues identified in the models

- To develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation)

Qualification :

- 1-5 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment

- A degree in mathematical finance, science or maths from a top tier university

- Knowledge of the standard pricing models used in the investment banking industry

- C++ experience (preferably using Visual Studio 2017)

- Excel VBA experience required

- Python experience preferred

- Experience with IBOR a plus

Experience :

- Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.

- Strong C++ skills

- Knowledge of main instruments used in FX, Fixed Income, Credit, or Equities

- Knowledge of CVA, CSA discounting, VaR, ES and other risk measures.