Quantitative Analyst, Credit C++ recruitment
Within CPM, the Quantitative Development Research team is responsible for the development of robust model implementations and for performance optimisation.
They undertake credit portfolio modelling CPM, risk-return performance assessment, loan fair valuation and hedging analysis, building credit portfolio models.
Technical credit risk aspects of their work includes (e.g. loan fair valuation, RAIR, RAROC methodology, Hurdle Rates, etc). They design, build and manage a full range of credit portfolio models as required.
Your experience should cover version control, testing and documentation, loan pricing and Economic Profit Calculator, validation of all new models, risk transfer / reduction techniques, Portfolio Optimisation, portfolio credit risk measurement, and structured credit securities.
THE Candidate:
- At least 2/3 years in depth experience in implementing quantitative models in C++. Experience in Matlab/SQL desirable
- Desirable: knowledge of credit portfolio modelling techniques and market pricing of credit product.
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:
Email: gary@its-city.com
Direct Line: +44 (0) 203 283 4097