C# Developer - Front Office Risk Engine - Permanent

McGregor Boyall
London (Greater)
10 Jan 2018
08 Feb 2018
Contract Type
Full Time
C# Developer - Front Office Risk Engine - Permanent

Front Office Developer / VAR / Risk Engine / Pricing / Analytics / Calculation

Risk Engine C# Developer required to work for the Research and Development team. The Quant Systems and Quant Modelling teams who share responsibility for generating inception pricing and risk for the bank's portfolio. The Quant Systems team designs and supports the risk engines and tools used for overnight and intraday risks, as well as for the estimation of P&L and VaR. The team also designs and manages the high performance computing environments both on-premise and in the cloud. The Quant Systems team provides support to multiple trading desks and several middle office departments, working alongside the Modelling Quants in order to extend the bank's pricing capabilities. You will also be expected to communicate with the quants to understand new products or new models, and integrate these into the risk engines.

Key Responsibilities:
  • Development of risk engines.
  • Provide technical expertise in architectural design to the Quant Systems team.
  • Daily communication with the Quants: discuss models and requirements.
  • Frequent communication with the Corporate Technology department: explain requirements and solve problems across different technologies and with different teams.

Skills & Experience:


Development and support of Windows applications and services using:
  • C# (should be very strong);
  • MS SQL Server, including database development;
  • MS Analysis Services;
  • PowerShell (and other batch scripting languages);
  • Distributed computing, grids;
  • XML design;
  • Multi-threading.
  • Experience designing and supporting risk engines for hedging and P&L computation.
  • Understanding of structured products including multi-asset and hybrid products across multiple asset classes (IR, FX, and Equity product experience preferred).
  • Understanding of market data and curve building.
  • Problem solving issues to include but not restricted to application errors, database errors, grid errors.

McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.
This job was originally posted as www.cwjobs.co.uk/job/79136389