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Software Developer C++, C# - Investment Banking

Location: London

Type: Permanent

Salary: £85K to £125K

Reference: RKC++_1511806898

Posted: November 27, 2017

Looking for experienced Front office risk C++, C# Developer for development and testing of stochastic simulation models for counterparty credit risk

C++, C#, quantitative models, pricing models, algorithms, optimisation, Basel III, front office risk

Are you a great software engineer with hands on development and testing experience of stochastic simulation models (on historical measure) for a counterparty credit risk system in C++ and C#?

Do you have excellent quantitative, mathematical skills?

If yes, this will be an excellent C++ quantitative development opportunity for you!

As a Software Engineer, you'll be joining the Shared Analytics Framework as part of Front Office analytics.

You will undertake the development of estimation models and simulation models (rates, inflation, equity, credit, FX) in shared analytics framework, plus occasional redesign of the existing pricing models (rates, credit)

Essential Skills

  • Experience of the development and testing of stochastic simulation models (on historical measure) for a counterparty credit risk system in C++ and C#
  • Integration and testing of pricing models (rates, credit, FX) Fluent in C++ performance optimisation and algorithms
  • The ability to engage in the full lifecycle of a project including coding models, systems testing, integration with IT systems, liaising with other groups and users on model queries and issues

It would be an advantage to have:

  • A solid understanding of Basel III modelling principles and requirements
  • Excellent mathematical skills
  • Solid financial and quantitative experience of either flow rates or credit
  • The ability to directly communicate with others from quant group or developers from technology group during bug or problem resolution

Excellent permanent package available from £85,000 to £125,000 + Bonus

If you are looking to work in a dynamic and highly rewarding environment with significant room for career progression, then apply now.

C++, C#, quantitative models, pricing models, algorithms, optimisation, Basel III, front office risk




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