Quantitative developer

£50k - 80k per year + bonus + benefits
14 Jul 2017
13 Aug 2017
Contract Type
Full Time
Role: Quantitative Developer

Location: Slough

My client is an independent market risk advisory firm specialising in the management of currency, interest rate and commodity price risk. They work with companies to design and implement strategies to monitor financial risk by using a market-tested specialist consulting service and innovative risk technology.

Their systematic financial risk management methodology has been designed to increase risk transparency, create customised risk management solutions, and facilitate the efficient execution of hedging transactions by minimising information asymmetry between clients and banking counterparties.

They are seeking a Quantitative Developer who has experience and a background in:

* Professional experience (>3yrs) in financial markets, ideally including exposure to OTC FX derivatives
* Exceptional Python (preferred) and R/Matlab programming skills
* MS degree in Maths, Finance, Physics, Computer Science, Engineering or similar
* Familiarity with probability, statistics, numerical methods and mathematical optimization
* Experience with derivatives risk systems or other systems based on the application of financial models
* OTC Derivatives pricing experience

On a day to day basis you can expect to be involved in:

* Development of cutting edge tools and systems to enhance trade reporting, analytics and risk management capabilities.
* Providing quant resource to a broader consultancy team, more specifically modelling and analysing hedging strategies for internal stakeholders and clients.
* Application and understanding of data structures and software development to optimise existing tools and procedures through identifying and improving on inefficiencies.
* Development of strategies for complex quantitative problems using approaches such as mathematical optimisation, numerical methods and statistical analysis including Monte Carlo simulation.
* Quantifying, measuring and managing clients risk exposures using different tools i.e. VaR, sensitivity analysis and probabilistic analysis.

This is a permanent role for a Quantitative Developer to join a small close knit team. They are looking to line up interviews from Monday 17th July.