Quantitative Developer

My client is a Quantitative Consultancy who are working on a project on behalf of one of the World's leading Investment Banks. They are looking for a consultant to join on an initial 3 month W-2 contract that will likely extend..

Experience Required:

• Proven experience in Quantitative Development.
• Understanding of capital rules.
• Experience with Basel regulations (Refer to the official BCBS documents published in 2014 and 2018 provided below).
• Expertise in Credit Valuation Adjustment (CVA).
• The Basel Committee on Banking Supervision (BCBS) approved guidelines governing SA-CCR regulations:
• “The standardized approach for measuring counterparty credit risk exposures” document published by Bank of International Settlements on March 2014.
• Some knowledge of SA-CCR with practical experience in its implementation would be a big plus
• Knowledge of “Frequently asked questions on the Basel III standardized approach for measuring counterparty credit risk exposures” document published by Bank of International Settlements on March 2018.

Technical Experience Required:

• Experienced with trading products and common hedging strategies via delta/gamma
• Experienced with quantitative & qualitative data analysis and methods to extract, transform and analyze data
• Proficient with Python (ideally experience with PySpark), Java/Scala in a Unix/Linux operating system
• Proficient with SQL programming on complex data structure
• In-depth understanding of large data technologies such as Hadoop distribution (yarn, hdfs, impala, hive), Spark architecture, Airflow orchestration, data reporting/visualization solutions
• Self-motivated and detail oriented. Excellent interpersonal and communication skills

Hourly rates circa $90 - $100 an hour.

Eden Smith are an equal opportunitues employer and do not discriminate on any grounds.