Quant Developer

Responsibilities

• Conversant with build, deployment and debugging processes (on Linux) such as GDB/Make/Makefiles
• Design and implement analytical models for counterparty credit and market risk calculations.
• 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.
• Support end-to-end model validation and application platform integration testing.
• Will research, design, code, test and deploy projects while working in a fast-paced environment.
• Design and implement proprietary systems throughout across multiple trading areas.
• Will be part of a small and agile team with the initial responsibility.

Required Skills

• Scripting skills: At least one of the following: Python, Perl, Matlab, R.
• 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.
• Must be able to communicate and interact effectively with business users, product quants, project managers and IT stakeholders.
• Java development knowledge is a plus.
• Must be well organized and able to meet stakeholder delivery commitments.

Required Experience

• 6+ years of hands-on software development experience in C++ (expert programmer).
• Experience with complex data structures, patterns and relationships : UI design and data visualization : Real-time and low-latency event processing.
• Experience with Git, Continuous Integration and Automated Deployments.
• Experience with open-source software is a big plus.
• Industry experience with quant modelling is a plus.

Education Requirements

• Bachelor’s Degree in Computer Science, Computer Engineering or a closely related field.