VP/Manager - Counterparty Model Development - Counterparty Credit Risk Quantitative Research Group

This is an analytics development position within the Counterparty Credit Risk Quantitative Research group with a focus on Counterparty Risk models. The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its products and models, while contributing to the model development for business specific as well as bank-wide models.

Core Responsibilities :

- Implementing a wide variety of software including: product payoffs, frameworks for pricing and risk management and pricing algorithms and models

- Supporting, upgrading, and debugging the software, partnering with other Quants, Traders, and Technologists

- Liaising with technology groups to deliver the analytics to systems for use by the business

Qualifications :

Essential skills, experience and qualifications :

- Knowledge of at least one of Python/C++

- Strong analytical and problem solving abilities.

- Good communication.

- Degree educated or equivalent in a technical discipline

Desirable skills, experience and qualifications :

- Strong C++ development skills in a numerical (scientific) programming setting.

- Strong C++ design skills

- Prior experience in Python an advantage

- Professional software development experience

- Experience in High-Performance Computing (eg grid computing, GPU)

- Knowledge of basic options pricing

- Knowledge of basic probability theory

- Banking experience is a distinct advantage