R&D Quant Developer

About the role

We are looking for a highly skilled Quantitative Developer to join our Applied Research and Development (ARD) team. You will help rationalise and streamline our cross‑asset pricing library, support model validation, and provide critical quantitative assistance to the XVA trading desks.

Key responsibilities

• Refactor, optimise and consolidate existing pricing libraries for efficiency, scalability and maintainability.
• Implement software‑engineering best practices in quantitative finance, focusing on code clarity, performance and modularity.
• Enhance documentation of pricing libraries to facilitate knowledge sharing across teams.
• Respond to valuation‑risk issues, improve model documentation and recommend actions for model use and pricing methodologies.
• Collaborate with model validation teams to ensure compliance with regulatory and internal standards.
• Provide day‑to‑day quantitative support to the XVA desk, including real‑time troubleshooting of pricing and risk issues.
• Assist in developing tools that improve credit exposure management and optimise counter‑party risk.

Required profile

• Advanced degree in Quantitative Finance, Mathematics, Computer Science or a related field.
• Strong quantitative background with expertise in financial derivatives and risk management.
• Experience in pricing library development and refactoring within a quantitative finance environment.
• Good understanding of model validation, regulatory frameworks and compliance requirements.

Required skills

• Object‑oriented programming
• C#
• Python