Job Description
RISK QUANT DEVELOPER
Summary
Capitalab, a division of BGC Brokers, is looking for highly talented, quantitative, energetic, confident, delivery-oriented quantitative analysts to work within the Capitalab front-office development team, which is split across London, Singapore and Toronto.
Group Description
The Capitalab division is a quantitative financial technology group within BGC, founded in 2015, responsible for optimising portfolios of financial derivatives for global investment banks and non-bank liquidity providers. Based in London, Singapore and Toronto, the teams work directly with Capitalab management to develop innovative, revenue-facilitating, market-leading services within the industry.
Capitalab focuses on multilateral derivatives compression and optimisation. It has eliminated over $10 trillion of gross notional and generated over $30 billion of Initial Margin savings for its global clients across Interest Rate Options (Swaptions + Cap/floors), Interest Rate Swaps (cleared and non-cleared), Cross Currency Swaps, Listed Equity Index Options, FX Options and FX Forwards portfolios, with 40+ major institutional clients participating in 300+ successful optimisation cycles.
You will be working as one of the early joiners of the division, with a huge potential to grow an already successful business.
Essential:
- Excellent knowledge of C# development skills and techniques
- Good knowledge of SQL databases (preferably MS SQL)
- Knowledge of mathematical optimisation and tools (ex. Gurobi or NAG)
- Development experience in Python
- Web development experience in JAVA and Angular
- Familiarity with financial mathematics, derivative pricing and risk management
- Appreciation of good software architecture including design patterns & SOLID principles
Experience with unit test frameworks, mocking frameworks and patterns for testability.
Desirable:
- Strong knowledge of FX Options pricing and risk
- Strong knowledge of numerical algorithms (optimisation, interpolation, linear algebra)
Previous commercial experience with Gurobi or NAG optimisation tools