Equity Derivatives Quantitative IT C# Developer
Location: Bucharest, Romania

One of our clients is amongst the largest Canadian banks by market capitalization with more than 80,000 employees around the world. The bank serves more than 16 million clients with $474 billion global assets under management in a variety of financial services, including wealth management and investment management.

Our client is undergoing the process of modernising its pricing and risk infrastructure and aggregate these valuations across assets following various phases based on priorities and complexities. The next phase of the process sits within their Equity Derivatives business around the globe. They are replacing their pricing, valuation and risk functions in the Sophis’s platform with one of its new in-house developed pricing, risk and PnL engine. The platforms will continue to run alongside each other, and Phi Partners will be working on both maintaining the functions in Sophis while migrating the valuation, pricing and risk functions to the new pricing and risk platform.

We are looking for an Equity Derivatives Quantitative IT C# Developer to join our team of 15 delivering Change and Run the Bank activities for this client. This role requires the developer to function as a C# developer for integration of Equity Derivatives within the client’s Valuation Services framework (VS) which delivers risk measures using the client’s Quant Library. It is also expected from the developer to build the interface between the current Quant Library and the new pricing and risk, PnL engine. You will liaise with the client’s Quant development team and key stakeholders to understand the functionalities and help to lift some of the functions into the new engine from Sophis.

We are looking for highly skilled C#/.Net developers with experience in building the interfaces between the quant library and Valuation Services framework. As a member of the team, you should have at least 3 years of C# development experience of current .NET capabilities especially LINQ and multi thread/multi-tasking design. A pricing and risk knowledge of equity derivatives is beneficial, preferably with a focus on financial mathematics and probability theory. It is beneficial if the candidate has experience and understanding of pricing components of exotic equity derivatives such as barriers, binaries, correlation and baskets.

Knowledge of database technologies Oracle/SQL Server is beneficial. The ideal candidate should also have demonstrable skills in developing efficient processing pipelines within applications especially relating to task orchestration, distributed computing, data streaming. Understanding of payoffs across different derivatives is considered essential in executing the job.

This role will give you the opportunity to work with some of the smartest technologists in the industry on various Greenfield software development projects. In addition, we offer a stimulating environment to challenge you and build your technology and business skills in a global rolling-out of valuation platform. You can expect excellent opportunities for career development with exposure to Tier 1 clients and market competitive recognition of your individual and team contribution to growing with Phi. By joining Phi, you will also have the opportunity to work on multiple crucial technology projects either remotely from our state of the art delivery centre or on-site, if required.
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*We regret that because we receive a high volume of quality applications, only those shortlisted will be contacted directly.
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