C++ Model Risk Lead Developer
You will be joining a team responsible for developing and supporting models to quantify and manage counterparty and funding risks. This group is also responsible for margin modeling as well as credit risk capital calculation.
- Lead the development and support of CVA and FVA models.
- Manage a team of 2 to 3 people.
- Design and implement new cutting-edge, cross-asset, counterparty and funding risk simulation models as well as enhance the existing library.
- Help on-board new products into the counterparty risk valuation framework.
- Liaise with technology teams in order to build out risk management systems and front end tools.
- Ensure clear documentation and testing of models
- Applied quantitative research and implementation in financial derivatives.
- At least a few years of managing/leading a team of quant modelers/developers.
- PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.
- Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.
- Excellent analytical and problem solving abilities.
- Extensive C/C++ coding experience
- Excellent communication skills (written and verbal). Team work oriented.