Our client is searching for an experienced Manager to join their Quantitative Risk Management Department. This department is charged with researching, developing, implementing and supporting the Clearing House analytics used for risk and default management.
The successful candidate will lead the team responsible for the Equity asset class. You will contribute to the FX framework and to feasibility studies on new products (including complex derivatives) for the benefit of Senior Management
Responsibilities:
- Research, design and improve the specification of models/algorithms
- Implement these analytics in the development library (C#) within a version control environment (Git)
- Implement automated tests (unit, regression) for these analytics
- Document both the mathematical specification and the code (Latex, Doxygen)
- Perform functional testing of these analytics (statistical analysis, back-testing, stress testing)
- Support the developers in charge of transferring the model to the production engine (C++) and review their implementation.
- Interact with both internal and external stakeholders. That stream includes attending product meetings with clients, presenting to risk committees, liaising with independent validators, and contributing to the regulatory approval of the models.
- Support the analytics once in production (ongoing monitoring, configuration control, operations support, clients queries)
Requirements:
- Experience in developing models (design and implementation) for pricing or risk management of derivatives, preferably in the fixed income asset class (credit or interest rates).
- Experience in writing model documentation and technical presentations.
- Experience with compiled, object-oriented programming languages such as C++ or C#.
- Good communication skills and the ability to manage a team.
- Experience in developing the type of risk models used by clearing houses and market risk teams.
- Experience with modern OO libraries, implementing pricing or risk frameworks.
- Proficiency in R, VBA or SQL.
- Experience with code versioning systems such as SVN or Git.
- Experience with code documentation software, such as Doxygen.
- Experience in managing a team
Education:
- Master or Doctorate in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
If you would like to be considered for the position of Manger or wish to discuss it further please leave your details below. Your resume will be held in confidence until you connect with a member of our search team
