Credit Model Quant Analyst - C# / C++ , SIMM
I am currently working with a leading Investment Bank who are looking for an experienced Quantitative Analyst to join their Front Office Credit Team.
This position has the opportunity for a long-term contract.
You will be working directly with the business, developing Credit Derivative Pricing models and integrating them into the library and framework using C# and C++. You will also be working with the Isda SIMM model.
- Strong Credit Derivative knowledge, specifically around Pricing
- knowledge of the SIMM model would be highly advantageous
- Very strong C# and/or C++ programming skills
- Strong mathematical skills including Monte Carlo and Optimisation Algo’s
- Strong business facing skills
- Ability to work autonomously and as a part of a time
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