Quantitative C# Developer (XVA)

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I am currently working with a leading financial institution who are looking to recruit a Quantitative C# Developer based in XVA for a 6 month contract based in central London. The main duties of the role will be:

* Implement market deformation scenarios for risk management

* Optimisation of various aspects of the grid computing based batch (performance, stability, logging, error reporting).

* Interaction with IT DEV team to construct shared modules for input/output data exchange

* Interaction with IT DEV team to construct a PNL explain tool

* Optimisation of internal data transfer and access to the machines on the compute grid

* Interact with the team responsible for the pricing GUI

Ideally applicants will have:

* Experience with C# gained in a professional environment

* At least one previous experience working on large and complex libraries / projects

* Basic knowledge of the various fixed income, FX and credit derivatives products is required (product payoffs and how they work)

* Knowledge about counterparty risk (CVA), funding costs (FVA), collateralisation either via previous work experience or personal studies.

* Experience working as a Server side C# developer

Alexander Mann Solutions, a Recruitment Process Outsourcing Company, may in the delivery of some of its services be deemed to operate as an Employment Agency or an Employment Business.