Pricing Analyst - Financial Engineer (C++)

Chicago, IL

Post Date: 10/19/2017 Job ID: 9610 Category: C++

Pricing Analyst - Financial Engineer (C++)

Our client is the leading exchange and clearing house for listed products. In its unique position as the most diverse clearing house, it is in the forefront of the clearing of OTC products, which is mandated by the financial reform. Our client has  an immediate opening for a Pricing & Valuation Consultant for cleared OTC products. The immediate focus of this role will be the daily pricing of cleared OTC products such as Interest Rate Swaps, Credit Default Swaps, FX, Futures and Options. 

Qualifications: 
• Ideal candidate will have a broad knowledge of derivatives.
• Candidate must have an advanced degree (MSc) in Financial Engineering or similar field.
• Strong programming skills in C++, Java, C Sharp, VBA, and Matlab are required.
• Comprehensive understanding of Futures and Options pricing, interest rate curve construction, interpolation methods used, bootstrapping methodologies, CDS pricing (upfront, par, quote spreads), SABR model, and volatility surface calibration.
• Experience with databases such as SQL and Oracle, data cleansing methodologies, and data transfer processes.
• Strong communication skills including strong presentation skills. 
• Ability to independently respond to inquiries from members, clients, and regulatory agencies.
• Ability to put in place reconciliation processes and automate manual practices.
• Experience with Reuters and Bloomberg API.

Kelly Hallgren


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