Beschreibung
Quantitative Matlab Developer- Risk and Valuation, Matlab, OTC, Derivatives, SQL, C++, Java, C#, Murex, Calypso, Front Arena, German
Field of activity
Continuous development and maintenance of Object Oriented Pricing and Risk library in MATLAB. The library's core purpose is the prototypical implementation of Pricing and Risk Methodology for all new and existing Listed and OTC derivatives (Equity, Rates, FX, Commodities).
You will maintain, develop, extend, and troubleshoot the library and its interfaces to ensure adequate Risk management of new and existing derivatives. Both the library's Data Access Layer and fundamental Business (Market Data, Risk Factor Scenarios) Layers as well as tools for (Market) Data pre-processing and Risk Model calibration as well as the Risk Model itself are in scope.
You will implement in MATLAB in an object-oriented way, quickly understanding the design principles of the library to apply them in an efficient manner.
You will interact with other developers and risk managers within the team as well as with IT.
Qualifications/Required Skills
M.Sc. or PhD in a quantitative discipline (Computer Science, Physics, (Financial) Mathematics, Econometrics or any other comparable degree with quantitative focus)
Minimum 4 years of industry experience in the field of quantitative risk management/valuation of financial instruments, in particular OTC and listed derivatives
Profound knowledge of MATLAB and its object-oriented features
Profound knowledge of SQL
Profound knowledge of object-oriented design principles. Knowledge of design patterns would be an advantage
Profound knowledge of an object-oriented programming language in addition to MATLAB, such as C++, Java, C# would be an advantage
Experience with trading and risk systems (such as Calypso, Murex, Front Arena, etc or any in-house equivalents) would be an advantage
Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
Solid communication skills, and a proficient manner
High commitment and motivation, take on responsibility, creativity and the ability to work independently as well as the ability to work flexibly in a team environment
Proficiency in written and spoken English; additional German language skills will be an asset
Assignment Details
Fulltime
Duration: Starting immediately until September 2015, extension of duration anticipated
Location: Eschborn