Senior Application Consultant
( Hybrid Quantitative Developer)

Relevant Job Criteria:
- There is 1 regular full-time position available.

Must Haves
- 7 years of experience with C++.
- 4 years of experience with C#.NET.
- 3 years of experience with Credit Risk/Derivatives.
- 3 years of experience with Quantitative Analysis.
- 5 years of experience with SQL server 2005/2008.

Nice to Have
- 2 years of experience with TIBCO Data Synapse.
- 2 years of experience with VBA/Excel.

Job Overview:
The incumbent will work as a lead quant developer designing and delivering a tailor-made solution for calculating Credit Valuation Adjustment (CVA) to the bank's OTC derivatives portfolio. You will be working as part of a global technology team providing direction and leadership on a development effort aiming to deliver an optimized, scalable, and open framework for measuring the bank's credit exposure of its derivatives portfolio.

You will be a key technology contact for the Quantitative Analysts team and counted on to align the BANK CVA technology with the underlying analytics libraries. In addition, you will be leading a team of up to 3 developers creating work packages, making design decisions, creating and tracking execution of work packages thus overseeing the development end-to-end - from the initial design document to the handover to the QA team.

Requirements:
Your strong academic credentials are coupled with expert-level knowledge of C++ and C# in a large-scale software initiatives. You have multi-year experience working with Quantitative Analysts and posses strong knowledge of financial derivatives across multiple assets. Your previous assignments include close interaction with Front Office, Quantitative Analysts, and Risk practitioners.

Your technical expertise include, but is not limited to, the following technologies:
- GRID computing (ideally DataSynapse) and multi-threading
- Windows, .NET, and SQL Server 2008
- VBA/Excel
- Java

You will be asked to lead a team of less senior quant developers and provide direction and expertise with the goal of not only delivering the solution but also enhancing team capabilities. To this end, you have a proven track record of technology leadership and a willingness to share your knowledge with others.

On a project, you will be accompanied with a lead BA, a project manager, and a program director to form a leadership group which will oversee the project execution and work closely to identify and address project risks.