Java, Data Synapse, Risk Analytics, Monte-Carlo simulations, Derivatives, Front Office, Investment Bank recruitment

Several Java developers are sought after to work in a new team that is being created for a leading European Investment Bank to develop a greenfield strategic risk engine. This platform will provide Monte Carlo based calculations for Credit Risk (cross-asset) and Counterparty Exposure Management desk functions. The calculations will be used by Front Office analytics libraries.

This job includes the following responsibilities:
*Active contribution to the team on design, architecture choices, performance optimisations
*Participation in interviews when hiring developers
*Development of multi step Monte Carlo simulations, model calibrations and FO pricing interfaces
*Full participation in all stages of the project: design, prototype, development, testing, delivery to production.
*Highly test driven approach, comprehensive test suite is one of project deliverables
*Java development
*Subject matter expert on Risk Engines calculating counterparty derivative exposure using Monte Carlo

This is an excellent project with business visibility and will involve close partnership with quants, system architects, High Performance Computing team, and other IT teams.

To be successful you must :

* JAVA development experience
*Worked previously for an investment bank on successful large scale/complex projects
*Practical experience of multithreaded, asynchronous and distributed systems.
*Experience with successful implementation of systems using Data Synapse grid

Ideally you'll have the following business experience:

*Front Office risk engine experience, detailed knowledge of one or more of: Risk Ladders/Matrices, PL Predict, PL Driver, IPV
*Knowledge of IR and FX derivatives products (including exotics) and inputs required for pricing

This is an excellent opportunity to gain a development role with a quantitiative/analytics focus that will give you fantastic exposure to a cutting edge risk project. Please send your CV in word version for immediate review.