Quant Developer - C++, Python, Derivative Pricing

Typical Day in Role:

• Champions a customer focused culture to deepen client relationships and leverage broader Bank

relationships, systems, and knowledge.

• Help implement and test US mortgage related products, such as whole loan and non-agency residential mortgage-backed security models (RMBS) for the Bank’s US whole loan trading/RMBS business

• Help implement and test quantitative models within the credit asset class.

• Provide quantitative support to Front Office Credit trading desks by building customized tools,

performing intraday trading support and running ad hoc analysis.

• In active collaboration with other stakeholders including but not limited to trading desk, technology support and Trade floor risk management teams to deliver the high-quality outcome regarding new models’ integration and providing quantitative support of the existing businesses.

Technology Stack:

• Primary development in C++

• Supporting tools include Python and other scripting languages

Candidate Requirements/Must Have Skills:

1. 3+ years of experience as a developer, with some experience in capital markets
2. Programming experience in C++
3. Experience with Python & other scripting tools
4. Experience in derivative pricing and their risks

Nice-To-Have Skills:

1. Experience with other programming languages such as VBA
2. Solid knowledge in Credit derivatives and US MBS cashflow and prepayment modelling is a plus.
3. Experience with Fixed income, Structured Finance and Mortgage space

Soft Skills Required:

• Good communication and interpersonal skills and a team player

• Ability to work well in a fast-paced environment with changing priorities

Education:

Post-secondary education in mathematics, Computer Science, Software Engineering, Physics or other quantitative areas – Quant/mathematical/finance masters are an asset