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Quantitative Analyst/C++ Developer [BA-CBC02]

Régió: Budapest

Focus Consulting Kft.
 
Hozzáadva: 2017.02.21.
Jelentkezési határidő: 2016.05.14.
Hirdetés azonosító: 1007617
 
Focus consulting

 

Our client

Our client is a leading global financial services company. Currently we are looking for a new colleague in the position of Quantitative Analyst/C++ Developer.

Tasks

- Design and implementation of pricing and hedging models for derivatives and physical transactions
- Development and maintenance of the in-house C++ pricing libraries
- Development of new technologies, algorithms and numerical techniques
- Work on general efficiency improvement and optimization of the analytical library
- Work on Regulatory and Governance based projects across a range of the asset classes

Requirements

- MSc / PhD Degree in Mathematics, Physics, Engineering, Finance or Economics
- Minimum 3 years of programming experience using C++ and Matlab
- Outstanding mathematical finance and statistical analysis skills
- Knowledge of probability and stochastic calculus
- Familiarity with Numerical analysis/Monte-Carlo methods
- Strong English knowledge
- Ability to take ownership and proactively follow up on issues
- Ability to work in a team and to work well under pressure in a Front-Office environment

Advantageous

- Proven track record of development and support pricing and risk models in an analytics library such as Rates, Credit, Equities, Commodities
- Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, CCAR, PAA
- Experience of CVA (Credit Valuation Adjustment) and DVA (Debit Valuation Adjustment) calculations

 

Munkavégzés helye
Budapest
Kategória
IT / Informatika
Régió
Budapest

 

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