European investment bank is looking for a strong C++/C# analytical programmer to design and implement modules for front office risk management and analytical model integration in the exotic derivative space. In this role you will be working on building a credit derivative pricing and risk system. You will work with the quants to integrate the pricing models into the existing system using C++ to wrap the models and integrate into the system.
This is a small team being built from the ground up and requires a team lead who can lead from the front, doing hands on model building, and who has first and understanding of Credit exotic Derivatives, CDO, CDS, Derivative products, risk systems. Should know how to price and calculate risk on assortment of FI and Derivative products.
You will also be leading a team to build new C#.net front end GUI tools to be used by the front office. This Pricing and Risk applications in C# are a major effort by the investment bank and will have lot of buy in from the business.
The software manages a wide variety of fixed income and derivative businesses including EM, IR Swaps, Bonds, and Credit Derivatives. The prime objective of the system is the creation of comprehensive end-of-day, intra-day, and real-time risk analysis to support strategic trading and risk management.
Our system operates on a MSSQL database, Windows 2000 application layer, VC++/VC# XML middleware and web servers, integrated by use of COM. The candidate will be required to successfully work within these various layers to implement required solutions.
Skills-
VC++ pricing and risk systems
Knowledge of Derivative analytical models
Strong Mathematical Background
Recent C#.Net front end development
Strong C# fundamentals
VBA front end development
Experience working in the front office.
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