C++ Quant Developer - Front Office/Market Risk - London

Our Investment banking client is looking for an experienced Quantitative Developer to work within their Quant Research function on a major cross asset pricing and risk project.

Delivering large scale change within portfolio model development, they are looking for successful Quants to help them achieve integrated results from all asset classes which can then be reported firm-wide, adding new components to portfolio analytics and extending them to include new asset types and new pricing models.

The successful candidate will aid a number of business critical components, and in collaboration with IT teams will be creating a new framework of service analytics, new generic descriptions of portfolio risk factors and a new infrastructure to run the analytics. It's critical that candidates have strong programming skills in C++ and past experience working on a large Quant library within another investment bank.

Key requirements:

• A proven track record as a Quant Developer, working within a large investment bank in Front Office/Market Risk
• Extensive C++ development experience, including work on a large Quant library
• Cross Asset experience would be ideal, or at least one of FX, Rates or Credit products
• VaR modelling, backtesting and scenario generation experience are also strongly preferred.
• Proficiency in Python would be highly desirable

Please note, this is a PAYE contract via an Umbrella.