Quantitative Developer – New York
The Quantitative Research team is tasked to maintain and build along with the Global Markets IT team, new architectures and solutions to streamline and harmonize the pricing, risk and P&L chain for different asset products (ex: interest rate, FX, credit flow, equities and derivatives)
This is an opportunity to work on re-engineering plans with ambitious targets and requires a significant number of experts to work together and deliver new platforms.
- Liaise with quantitative research to adapt Risk and P&L Explain calculation following model changes or to improve P&L Explain for existing models;
- Increase coverage of the platform and help roll it out to users not yet on-boarded;
- Participate in the development of the platform to ensure code base remains production level;
- Generally, work in collaboration with Quant Research to ensure high level of availability of the platform;
- Assist traders when they require expert inputs to help them understand their P&L and revenue drivers.
Is this project fitting for you?
- Good knowledge of an asset class (fixed income or equity derivatives);
- Prior experience in front office quantitative research is mandatory;
- Strong mathematical experience (numeric analysis, algorithm, etc.);
- Extensive experience with C# or Python;
- Comfortable with large scale libraries and working with different profiles (quants, IT etc.);
- Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.
Your key assets:
- Good interpersonal skills given the numerous actors in this re-engineering project;
- Able to work autonomously within the requirements of the project and the quant team;
- A flexible, hands-on attitude and willingness to make things happen.