Capital Markets Senior Risk Developer
This Market Credit Risk Technology team provides support and a framework to the Interest Rate, Credit Equity derivative Risk Management unit in order to successfully measure, monitor, and report market credit risk across the organisation for those specific asset classes. We are looking for a strong front office risk developer with at least 7 years development experience to develop new front office risk and valuations systems. This role is to join a team of 5 and in terms of experience, an intermediate to senior hire is preferred VP-SVP level (6-10 years).
The role would be primarily focused on interfacing with the quant team to integrate new and enhanced pricing models into the common risk service infrastructure.
Develop a new market risk system from scratch which calculates end of daylive risk and does scenario analysis (using grid computing) across all the Interest Rate Equity derivatives and Commodities desks including swaps, repo, options and exotics
Although this is a hands on development position, we are looking for someone with advanced mathematical understanding, such as financial engineering/ statistical modelling/ theoretical pricing in addition expertise in developing technology in support of multiple, complex risk and/or pricing models which require ongoing evaluation based on market fluctuations, such as VaR, Counterparty Potential Future Exposure, stochastic modeling, derived market data and stress testing;
This is an immediate hire, interviews have already begun. GQR also welcomes tentative enquiries from suitably qualified individuals.Confidentiality and utmost discretion is 100% assured.
Keywords: robust technical solutions, simulations, decelopment, applications, risk, derivatives, Java, C++, RDBMS, Inte, Data, VP
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