WHO WE ARE
Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.
Since 2007, our 800+ consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.
The firm mainly takes part in:
Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organisational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g. C++, Python, C#, Java, VBA), Financial Software (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.
As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 100 consultants, working for major Capital Markets institutions in London.
DESCRIPTION
Equity Derivatives Quants (a division of Global Banking and Markets) are looking for a C++/Python developer specialising in Structured Equity Derivatives. The candidate will be expected to:
Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
Assist the Quantitative Modellers to develop the core pricing library
Develop the Quantitative tooling required to support the platform
The role will cover the following agendas:
Delivery of the calculation infrastructure required for FRTB IMA regulatory reporting
Design and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
Design and development of intraday risk and P&L calculations
Design and development of market data marking pipelines
The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.
EXPERIENCE
3-7 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
A degree in mathematical finance, science or maths from a top tier university
Knowledge of the standard pricing models used in the investment banking industry
Two or more years C++ experience (preferably using Visual Studio 2017)
Two or more years Python experience required
SKILLS
Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects are desirable, but not strictly required.
Experience of data analysis
Knowledge of the main instruments used in Equities and Equity Derivatives
Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
Knowledge of distributed computing and serialisation techniques
Good knowledge of Excel.
Previously experience with CI/CD pipelines
Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time
