Job Description :
Looking for a highly skilled Senior Quantitative Finance Analyst/ C++ developer to join the Consumer Retail Analytics team in the Global Risk Analytics organization. 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.
Responsibilities include:
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
Required Skills:
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
Desired Skills:
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
Must be very strong C++ coders ideally would like someone coming from Financial Services