Credit Quantitative Developer

Company:
Ignited
Location:
New York, NY
Job Type:
Posted:
6/11/2013

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Job Description

Please note that we can only accept resumes from US Citizens, Permanent Residents, TN Visa Holders, and H-1B Visa Holders (must transfer visa) with 3+ remaining on their visas for the following opening. Resumes not satisfying this basic criterion will be discarded without consideration. Relocation assistance is a possibility for exceptionally qualified applicants. Our client is a top-2 international investment bank whose client base includes corporations, financial institutions, governments and high net-worth individuals and whose product/service offering spans the full spectrum of financial needs: Investment Banking, Fixed Income, Equities, Asset Management, Prime Brokerage, Private Wealth Management. The company seeks a credit quantitative developer for immediate hire. Overview This position is with a credit technology quantitative development team that creates quantitative models and tools to measure and explain the firm's counterparty risk team. More specifically, the team develops Monte-Carlo based potential exposure models, which are used for credit risk management of trading positions, client margining, management reporting, and regulatory capital calculations. Team members* daily responsibilities include developing and validating potential exposure models, developing/supporting credit risk measurement tools, understanding cross-product desk pricing models. Required Skills/Experience *Strong computer science fundamentals (e.g., algorithms, data structures) and programming skills in C++, Java, Python, Smalltalk, or comparable languages (applicants should be language agnostic); *Full lifecycle development experience with large code bases (> 1 million lines); *SQL *Strong math skills in probability, statistics, time series analysis, and/or Monte-Carlo simulations; *Excellent communication skills; *Masters degree (or higher) in a quantitative discipline; *Quantitative finance experience ideal but not required.
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