C++/SQL Credit Risk Engines Developer recruitment
C++ SQL Credit Risk Engines Developer
C++ SQL Credit Risk Engines Developer required for this top tier bank based in London. The successful candidate will be developing several components such as Back Testing portfolio definition tools, RWA allocation application, changes of the Marginal Models, application to store riskfactor Monte-Carlo simulation paths, wrapper around Quantitative Analytics statistical analysis library for Back Testing, model mapping changes for UTRs and RWA what-if analysis tool. The successful candidate will also analyse the most common Valuation Model exceptions.
Skills
· Good business and risk knowledge
· Experience of development in large teams on large and complex systems.
· Expertise in C++ and SQL server.
· Knowledge of pricing of derivative trades
· Experience of delivery for Credit Risk engines across the full lifecycle
· Experience of delivery in Java
· Experience of Agile development regime
· Coherence Cache experience (delivery or maintenance)
· Data Synapse experience (delivery or maintenance)
· Database design, in particular for SQL Server