Senior Quantitative Developer (Derivatives) recruitment
About the job:
Based in the operations team at SWIP, you will be responsible for the design, implementation and support of models, end-user tools and middleware logic for derivatives analysis. Incorporating pricing, valuation, risk and model calibration, the models and tools will support the use of vanilla and exotic derivatives within SWIP. The role will require close interaction with internal customers in trading and structuring, with SWIP IT and with other team members.
Key accountabilities:
* Understand requirements of Front Office and other users of derivatives analytics
* Understand the flexibilities, limitations and data requirements of third-party modelling analytics
* Work closely with IT in order to ensure data requirements are understood and met, and agree interfaces for data exchange
* Work closely with Quantitative Analysts to understand middleware requirements
* Implement and test derivatives models, building on third-party analytics where relevant
* Design, implement and test end-user analysis tools building on derivatives models
* Support end users of the models and tools
Skills/experience required:
* Extensive experience building derivatives pricing models and analysis tools
* General understanding of the principles and techniques used for valuing vanilla derivatives (i.e. swaps, vanilla options) across asset classes (interest rate, credit, inflation, FX, equities)
* Expert knowledge of Microsoft Excel, including VBA
* Significant experience of object-oriented programming (e.g. C++, Java, C#, Python)
* Knowledge of database design, protocols and query languages
* Ability to develop and maintain key relationships across all areas of the business
* Degree (minimum 2:1 or equivalent) ideally in computing or another numerate subject
* Relevant post-graduate study is advantageous
Competencies:
* Customer focused
* Attention to Detail
* Team player
* Self starter
* Strategic thinking
