RiskSpan is seeking several hands-on C++ Senior Analytics Developers with Product Pricing/Math knowledge to work as a team of 4-5 covering credit, rates, mortgages, and commodities for Basel III model integration and validation. The candidates will design and develop advanced scenario generation and valuation models for Counterparty Credit Risk Management. The roles require excellent communication skills, strong analytical problem solving abilities, solid academic background and expert programming skills. Knowledge of financial products and markets is essential to succeed in this role.
- Design and implement analytical models for counterparty credit and market risk calculations
- Support end-to-end model validation and application platform integration testing
- Ability to interpret and analyze new regulatory analytics requirements
- Application Lifecycle Management support: unit testing, integration testing, performance testing, release control, automated builds
- Mentor junior developers
- Maintain up-to-date understanding of the project and communicate, at a variety of levels, the activities, risks, issues, assumptions, dependencies of the project
- Manage multiple tasks effectively and independently to meet deadlines
Applicant should have strong communication and writing skills, attention to detail and ability to work well with others. The Applicant is also expected to meet the following requirements:
- Advanced degree (PhD/MS/MEng) preferred in a quantitative field such as Math, Statistics, Computational Finance or Engineering
- Desired Advanced Quantitative Skills: Numerical Methods, Stochastic Calculus/Probability and Random Processes, Martingale Methods in arbitrage pricing, Statistics/Time Series Analysis
- 6+ years of hands-on software development experience in C++ (expert programmer), including: C++ standard library, Boost
- Experience with performance measurement and optimization required
- Multi-threading desirable
- C++ 11 desirable
- Scripting: At least one of the following: Python, Perl, Matlab, R
- Conversant with version control, build, deployment and debugging processes (on Linux) such as GDB/Make/Makefiles
- Same experience on Windows desirable
- Intimate familiarity with OTC Product space – knowledge of fundamental traded products, valuation methodologies, market data, industry trends, etc.
- Must be able to communicate and interact effectively with business users, product quants, project managers and IT stakeholders
- Must be well organized and able to meet stakeholder delivery commitments
- Applicant must be legally authorized to work in the US; RiskSpan will not sponsor applicants for the following work visa’s: H-1; L; O
RiskSpan Inc. is proud to be is an Equal Opportunity/Affirmative Action employer committed to hiring a diverse workforce and sustaining an inclusive culture.
All your information will be kept confidential according to EEO guidelines.