job advert: senior role at Credit Suisse

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Credit Suisse is seeking to recruit an expert
in functional programming for a senior role in the Global Modelling and
Analytics Group (GMAG) in the Securities Division.
The group consists of about 140 people
worldwide. The majority of the group are mathematicians engaged in developing
mathematical models for financial products traded by the division. Approximately
20 people are primarily computing experts, based in the Architecture and
Delivery (AD) subgroup within GMAG. The successful candidate will be based in
the R&D section of AD (7 people), which focuses on projects designed to
improve the productivity of the modellers.
We are already making heavy use of functional
programming within the group, primarily Haskell and F#, and we expect to
increase this in the future. Some information about our Haskell projects can be
found here: <a title="http://www.haskell.org/communities/05-2008/html/report.html#sect7.4" href="http://www.haskell.org/communities/05-2008/html/report.html#sect7.4"><u title="http://www.haskell.org/communities/05-2008/html/report.html#sect7.4">http://www.haskell.org/communities/05-2008/html/report.html#sect7.4<i></a>; we have recently adopted F# for implementing and deploying models on the .NET platform. Our team will be working closely with the modellers to help them leverage functional programming to improve the design of their code. Key requirements: <ul><li>An exceptional academic track record in functional programming including a significant publication history. </li><li>Significant experience of "real-world" computing environments, preferably using functional programming. </li><li>Excellent communication skills in order to convey new ideas to our modelling team.</li></ul> Location: London or New York Contact: Howard Mansell <howard.mansell@credit-suisse.com> Howard and I will be attending ICFP 2008 and associated workshops - if you'd like to discuss this in person, get in touch with us by email (please email us both, my address is ganesh.sittampalam@credit-suisse.com), or just grab one of us there. We'll also be talking about some of our Haskell work at ICFP and our F# work at CUFP. Background information: Credit Suisse provides investment banking, private banking and asset management services to clients across the world. Active in over fifty countries and employing more than 45,000 people, Credit Suisse is one of the world’s premier banks. There are exceptional opportunities for further growth in new product areas and emerging markets; there are equally exceptional opportunities for the people who can deliver that growth. Credit Suisse offers intellectual challenges, high rewards and global development potential for individuals who share an enthusiasm for business-critical innovation. Credit Suisse provides investment banking, private banking and asset management services to clients across the world. Active in over fifty countries and employing more than 45,000 people, Credit Suisse is one of the world’s premier banks. There are exceptional opportunities for further growth in new product areas and emerging markets; there are equally exceptional opportunities for the people who can deliver that growth. Credit Suisse offers intellectual challenges, high rewards and global development potential for individuals who share an enthusiasm for business-critical innovation. The Global Modelling and Analytics Group (GMAG) is responsible for producing state-of-the-art pricing, trading and risk management models for Credit Suisse. These models are used across a range of businesses in the Fixed Income and Equity departments. The group performs the full spectrum of quantitative work, from mathematical modelling through software implementation and delivery, to risk analysis of trades and existing portfolios. The group's mandate covers all major asset classes, including Credit Derivatives, Commodities, Emerging Markets, Equity Derivatives and Convertibles, Exotics, Foreign Exchange, Fund Linked Products, Interest Rate Products and Mortgage Derivatives. GMAG operates globally with over 140 members located in London, New York, Hong Kong, Tokyo, Wroclaw and São Paolo. Established in 1990, GMAG stands out as a unified quant group that has been covering all major product areas since its inception. The group has always enjoyed a strong relationship with Trading, Structuring and Sales, assisting them with trade pricing and risk management. As the group is based on the trading floor, it is ideally placed to respond to the financial modelling needs of the businesses it supports. The breadth of GMAG's mandate makes it uniquely positioned to leverage the skills and experience of its members, and to provide a consistent modelling approach across all areas. Over time, the group has developed an extensive suite of pricing models on a common platform with complete integration across all asset classes. Quantitative Analysts in GMAG carry out a range of activities which include the creation of sophisticated mathematical models for the valuation of complex derivatives, development of the technology platform used to deliver models and driving the use of these models throughout the bank. Our Quantitative Analysts typically hold an advanced quantitative degree, have excellent analytical and problem-solving skills, demonstrate creative thinking, have strong programming skills, and are confident communicators.