Beschreibung
Quant Developer: Quant Developer is urgently required for a potentially very long-term piece of work in Germany.
The Quant Developer will be involved in the following tasks:
- Develop functional specifications based on an existing concept and datamodel.
- Liaising with business and financial mathematicians (quants) to understand functional/business/methodological requirements. You will heavily interact with developers and risk managers within Risk, Valuation and IT.
- Develop implementation options within the context of the current clearing and risk management framework.
The Quant Developer will ideally have the following skills and experience:
- Profound understanding of derivatives products (incl.pricing) and risk management practice preferably having FRM, CFA or similar certification
- M.Sc. or PhD in a quantitative discipline (Physics, (Financial) Mathematics, Computer Science, Econometrics or any other comparable degree with quantitative focus)
- Minimum 3 years of industry experience in the field of quantitative risk management/valuation of financial instruments, in particular OTC and listed derivatives
- Functional understanding of database models and interfaces
- Good understanding of cross margining across OTC and listed business
- Knowledge of OTC products (IRS, OIS, TRS)
- Strong analytical skills
- Strong communication skills in order to act as an interface to other project teams and IT
- Highly motivated and engaging nature, positively assertive
- English and German language skills in both spoken and written
The Quant Developer will ideally have the following bonus skills:
- Very good Excel & Access VBA Scripting knowledge
- Experience in creating pricing models in Excel
- Experience with QuantLib is an advantage
- Knowledge of Calypso