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Senior Quantitative Developer- C++

Postée le 13 juil.

Lieu : Barcelona · Contrat : CDI · Rémunération : Depending on the candidate experience. €

Société : OTCFin

OTCFin provides financial technology solutions to investment management firms, hedge funds, funds of funds, and institutional investors that help streamline their asset allocation, investment, risk and performance measurement processes resulting in increased transparency to their investors.
Office Address :
OTCFin (Headquarter)
110 William St, 3rd Flr
New York, NY 10038

USA OTCFin Europe
Pujades 158b 1A
Spain 08005

Contact : sjaitley@otcfin.com

Description du poste

Senior Quantitative Developer

The Applications Development Quantitative Developer is a senior level position responsible of development and implementation of new or revised derivatives credit risk application systems and programs in coordination with the Quant Team.

The role will involve tasks such as:
• Development and maintenance of the in-house C++ and Python model libraries
• Work on general efficiency improvement and optimization of the analytical libraries
• Work with IT teams to integrate analytic libraries
• Supporting the build, testing and release management of the model libraries
• Support and improve grid computing and transition to cloud
• Work on Regulatory and Governance based projects across a range of the asset classes
• Performing data analysis and producing regular reports

• 6+ years of quantitative experience
• Proven track record of developing and supporting analytics library for derivatives pricing and risk. In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantage
• experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
• Solid mathematical finance and statistical analysis skills
• Knowledge of probability and stochastic calculus
• Familiarity with Numerical analysis/Monte-Carlo methods
• Experience developing software for Windows and Linux
• Good command of programming using C++, Python
• Good command of scripting using UNIX Shell (ksh, bash, etc), Python and VBA
• Knowledge of Relational Databases (Mongo, etc) databases is a plus
• Knowledge/experience with Machine Learning Tools (scikit-learn, Teano, Keras, etc) and Cloud based computing is a plus
• Outstanding analytical and problem solving skills
• Thorough and detailed approach to accuracy are essential
• Ability to follow procedures and operate within strict guidelines
• Excellent verbal and written English
• Ability to take ownership and proactively follow up on issues
• Ability to work in a team and to work well under pressure

Profil recherché

• Master’s degree or equivalent in computer science, mathematics, engineering or physics.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Pour postuler :

Kindly mail your CV at sjaitley@otcfin.com