Senior Quantitative Analyst / C++ Developer
Enterprise Select has partnered with a world leader in investment banking to help staff their growing Analytics initiatives. We are currently looking for a highly skilled Senior Quantitative Finance Analyst/ C++ developer to join their successful team. The team produces, supports and runs econometric models for mortgages, credit cards, vehicle loans and deposit overdrafts. These models are used for stress testing, valuation, risk management, capital and liquidity planning, underwriting and other strategic or day-to-day decision-making purposes.
The work is fast-paced and intellectually challenging, and the team has frequent interactions with senior bank management and regulatory agencies to continuously improve our models and adapt to changing market and regulatory needs.
Candidates need not have previous finance experience but will be expected to quickly develop acumen and intuition for financial risk models. Candidates will build their advanced programming skills and work with staff in Corporate Investments, Balance Sheet Management, Model Risk Management and internal/external audit.
- Ownership and responsibility for subset of models
- Management of junior staff
- Understanding financial and business rationale behind models and being able to interpret model results and limitations critically
- Designing and implementing flexible, maintainable, correct and efficient C++ code
- Studying and understanding technical model documents from team of statisticians
- Updating C++ and configuration files to match new/updated credit/prepayment/cash flow models
- Testing and debugging code to ensure correctness over wide range of inputs
- Reviewing, refactoring and optimizing existing code
- Participating in peer code reviews and collaborative development with other developers and quantitative finance analysts
- Supporting model users and assisting in development of production processes
- Degree in a technical field (Finance, Math, Engineering, Physics, Computer Science)
- 5 years professional experience writing maintainable and efficient C++ (fewer years accepted with applicable postgraduate degree)
- Ability to direct junior developers and review their code
- Ability to work independently, with minimal supervision
- Basic scripting using Perl/Python/R/Bash
- Strong mathematical/quantitative skills, including statistics, calculus and linear algebra
- Extensive experience with object oriented design, STL and templates
- Strong attention to detail
- Unit/regression testing
- Ability to visualize and manipulate data using Excel
- Good verbal/written communication skills
- Willingness to learn and share knowledge
- Comfort in working in a team environment
- Postgraduate degree in a technical field
- C++11 experience
- Boost experience
- Experience with Perl/Python/Lua/R/AWK/SAS/SQL
- Linux/Unix shell
- Source control experience (SVN/Perforce preferred)
- Experience in competing risk models, financial theory, economics, derivatives pricing, stochastic calculus or machine learning.
- Experience of Monte Carlo Simulation
- Experience with parallel/cluster computing (using PVM, SLURM, MapReduce, Hadoop, etc)
- Experience working with very large data sets
- Experience with performance optimization and profilers (gprof, VTune etc)
- Ability to multitask and properly prioritize multiple projects
Not only will you be working with the industry’s best and brightest, you will also be working for a well-renowned company that really takes care of its employees. You will receive extremely competitive compensation, ample opportunities for career growth and skills development, and a full suite of amazing benefits.
If you are interested in this or other related opportunities, please get in touch today and let’s talk about how we can be the bridge to your ideal career opportunity!