Credit Derivatives Quantitative Analyst

Location: London, UK
Department: Quantitative Development
Position: Credit Derivatives Quantitative Analyst

OpenGamma is the author and sponsor of the OpenGamma Platform, the first Open Source platform for quantitative finance. Used by investment banks, hedge funds, and others, this revolutionary technology allows firms to focus on their proprietary approaches to the market, without having to recreate the same technology as other firms.

We’ve put together a team that spans some of the best-of-the-best across financial services (Vega Asset Management, Proxima Alfa, KBC Financial Products, Dresdner Kleinwort, RBS, Dexia, BIS, JPMC) and pure technology (Expedia, Accenture, SITA, 1010data) backgrounds. Our standards are extremely high, and we expect all our developers to perform at a consistent standard of excellence.

This role is in our Quantitative Development team, where you would report to our co-founder and Head of Quantitative Development, Elaine McLeod.

As part of our comprehensive front office analytics and risk management offering, we have built a cross-asset-class analytics library with excellent coverage of fixed income and equity products. Our focus is on building an Open Source analytics library with a comprehensive range of analytic measures and numerical techniques supporting a wide range of derivatives products. Your role would be to write code to support all aspects of our credit-related products functionality including products, models and numerical algorithms.

The ideal candidate for this role is familiar with most standard credit products and derivatives (CDS, CDS Options, Convertible Bonds, etc.) and underlying models (Credit Curve construction, CDS Index linking, etc.) and has worked as a practitioner directly supporting a trading operation in a bank, broker-dealer, proprietary trading organization, or hedge fund. In addition, some experience of counterparty credit risk would be desirable, but not necessary.

General Duties

  • Research and Development of state of the art pricing models for Credit-related instruments
  • Full mathematical documentation for new pricing models included in our analytics library package
  • Support for customers building complex and bespoke analytical models on top of the OpenGamma Analytics Library building blocks

Requirements

  • Degree in a quantitative discipline such as Maths/Physics/Statistics from a top tier university (PhD desirable)
  • At least 3 years practical experience supporting Credit derivatives trading
  • Excellent financial mathematics knowledge, i.e. probability theory, stochastic calculus and numerical techniques
  • Experience in modeling and pricing a full range of standard Credit products (CDS, CDS Options, Convertible Bonds, etc.)
  • Ability to program in at least one C-lineage programming language (Java, C, C++, C#)

Desirable Skills

  • Familiarity with Bloomberg or other large data provider
  • Practical understanding of instrument modeling and construction
  • Experience in counterparty credit risk

As we anticipate that not every candidate will have every skill desired, candidates should express a demonstrated ability to acquire skills on the job to round out their profile.

To apply, please submit your CV and a covering letter to jobs@opengamma.com.

No recruitment agencies, please.