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The quantitative credit risk programming group implements and maintains computer programs to calculate counterparty credit risk for the firm's trading books, as well as margin, credit cost of capital, operational risk and other application areas.
Theoretical skills The candidate will have had significant exposure to one or more of the following: stochastic processes, theoretical finance, differential equations, econometrics, economics, probability theory, numeric algorithms, Monte Carlo modeling, simulations, security pricing algorithms Must be reasonably fluent in most of the following: design patterns, Unix communications, Unix system calls, threads, SQL, Java, Perl, CVS. Good programming standards will be followed. The emphasis is on transparent, documented, high-quality code which can be easily understood,
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