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Model Developer (post-trade OTC space)

Job description

Our client a Quantitative Advisory firm is the driving force for change in the post-trade OTC space and a clear market leader.  

They are currently hiring and have an opening for a Model Developer. 

This team pursues the continuous development of pricing and risk analytics libraries, applications, and services. Therefore, ideal candidates will be an analytical problem solver with previous exposure to Financial Markets and Quantitative Finance. 

This is a growing organisation that focuses on providing Risk Management services to Top Tier Financial Institutions globally. Their services help mitigate Financial Risk and optimize resources across the entire trade lifecycle. 

Responsibilities

  • Extension of the in-house libraries to cover additional financial instrument types across OTC derivatives in six asset classes (Interest Rates, Foreign Exchange, Inflation, Equity, Credit, Commodity), including hybrids and exotics
  • Further development of the service integration layer around ORE/ORE+ including the communication with the market data and reference data services
  • Close cooperation with the global market data and service operations teams for the resolution of issues that occur in test and production processes, analysis of new requirements and design of analytics extensions

Technical skills

  • Financial derivatives valuation knowledge is essential.
  • Knowledge of pricing methods in at least 3 of the asset classes mentioned above
  • Experience with C++, QuantLib
  • Experience with Python scripting
  • Experience with XML beneficial

Qualifications

  • Degree in Mathematics, Quantitative Finance, Physics, Computer Science, Engineering, or a similar discipline
  • Open to considering talented and ambitious graduates, as well as experienced quant developers with relevant practical experience and proven QuantLib knowledge

If you want to work at a firm with a friendly, open and dynamic culture that will provide you with meaningful opportunities to work side by side with others who are literally changing the way post-trade OTC business is done – send your CV to Denise today! dohare@sigmar.ie

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