Quant Developer

#R-00127358
Location
London, United Kingdom
Contract
Permanent - Full Time
Brand
NatWest Markets
Job category
Front Office Markets Trading - Front Office Markets
Posted
30/04/2021
Closing date for applications: 30/05/2021

Join us as a Quant Developer

  • This is an opportunity for a driven leader to take on an exciting new career challenge
  • You’ll be able to build and maintain a wide network of stakeholders of varying degrees of seniority
  • It’s a chance to have a tangible effect on our function, put your existing skills to the test and advance your career

What you'll do

You'll work in a team developing the strategic EPE/xVA converged model implementation and SA-CVA, with a particular focus on the grid and massively parallel graph distribution element. You'll also assist in transitioning from the production IMM model to the strategic solution in the timelines.

You’ll also:

  • Implement, refactor and optimise code within the Single Risk Engine to enable optimised running of the converged model at large scale
  • Work closely with Quant and other Quant development teams to ensure solution is aligned with pricing and market data requirements
  • Analyse and support large-scale existing XVA and IMM use-cases to inform strategy for convergence, including performance, memory optimisation and problem diagnosis
  • Develop tools and infrastructure to enable quants and quant developers to reproduce bugs and extend functionality independently of IT systems

The skills you'll need

You'll need substantial experience in quant development, and a high level of C++ proficiency, especially profiling, performance optimisation and serialisation in analytics libraries. Basic practical knowledge of pricing, modelling and market data in any asset class, xVA, CCR, or portfolio risk knowledge is a bonus.

You’ll also need:

  • A strong understanding of process level and thread level parallelism, and distributed graph execution on a compute grid
  • The ability to deliver under tight deadlines whilst contributing to the overall strategy of the project

If you need any adjustments to support your application, such as information in alternative formats or special requirements to access our buildings, or if you’re eligible under the Disability Confident Scheme please contact us and we’ll do everything we can to help.