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Front Office Quant IV
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Front Office Quant IV
Role overview
You will work as a Front Office Quant Developer focused on quantitative modelling, particularly within Counterparty Credit Risk (CCR). The role emphasizes model design, prototyping and implementation for Front Office pricing and risk systems, with a focus on Potential Future Exposure (PFE) and Exposure at Default (EAD). The modelling environment includes Monte Carlo modelling, derivatives pricing, risk factor modelling and multiple asset classes (e.g. FX, Equity, SFT). Responsibilities - Design and enhance Counterparty Credit Risk models for PFE and EAD. - Work hands-on across the quantitative model lifecycle from design and prototyping to implementation. - Develop and work with Monte Carlo models, risk factor models and derivatives pricing models. - Apply quantitative models across different asset classes. - Implement quantitative models using Python and/or C++ for Front Office purposes. - Contribute to high-performance computing platforms (C++/CUDA) used for pricing and risk management. - Collaborate with quantitative colleagues and IT model integration teams. - Provide quantitative support to risk managers, traders and other stakeholders. Requirements - Education: University degree in Mathematics, Physics, Statistics/Econometrics, Computer Science, Engineering or another relevant quantitative discipline; MSc or PhD preferred. - Experience: At least 5 years of Quant experience within Counterparty Credit Risk and/or Market Risk modelling. - Strong hands-on quantitative modelling background with specific relevance to the CCR domain. - Professional experience with Monte Carlo modelling, risk factor modelling and derivatives pricing. - Experience with at least one relevant asset class or modelling area (Interest Rates, FX, Commodities, Credit, Equity or XVA). - Proven ability to implement quantitative models in Python and/or C++ for Front Office use. - Familiarity with professional software-develo...
Role overview
You will work as a Front Office Quant Developer focused on quantitative modelling, particularly within Counterparty Credit Risk (CCR). The role emphasizes model design, prototyping and implementation for Front Office pricing and risk systems, with a focus on Potential Future Exposure (PFE) and Exposure at Default (EAD). The modelling environment includes Monte Carlo modelling, derivatives pricing, risk factor modelling and multiple asset classes (e.g. FX, Equity, SFT). Responsibilities - Design and enhance Counterparty Credit Risk models for PFE and EAD. - Work hands-on across the quantitative model lifecycle from design and prototyping to implementation. - Develop and work with Monte Carlo models, risk factor models and derivatives pricing models. - Apply quantitative models across different asset classes. - Implement quantitative models using Python and/or C++ for Front Office purposes. - Contribute to high-performance computing platforms (C++/CUDA) used for pricing and risk management. - Collaborate with quantitative colleagues and IT model integration teams. - Provide quantitative support to risk managers, traders and other stakeholders. Requirements - Education: University degree in Mathematics, Physics, Statistics/Econometrics, Computer Science, Engineering or another relevant quantitative discipline; MSc or PhD preferred. - Experience: At least 5 years of Quant experience within Counterparty Credit Risk and/or Market Risk modelling. - Strong hands-on quantitative modelling background with specific relevance to the CCR domain. - Professional experience with Monte Carlo modelling, risk factor modelling and derivatives pricing. - Experience with at least one relevant asset class or modelling area (Interest Rates, FX, Commodities, Credit, Equity or XVA). - Proven ability to implement quantitative models in Python and/or C++ for Front Office use. - Familiarity with professional software-develo...