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Quantitative Developer Risk - C# C++ Investment Bank

London, United Kingdom, £ £ - Daily Daily, Contract

Description:

Quantitative Developer Risk - C++ C# - Investment Bank

We require solid quantitative background within a market risk environment. Continuous interaction with other teams within Risk and FO also strong communication skills. A strong academic background, for example a Masters in mathematics, physics or quantitative finance;

  • Excellent programming skills, including statically-compiled languages such as C++, C# and Java. C# knowledge is highly desirable. Experience in programming in Python is also desired.
  • Proven experience in a quantitative finance environment, preferably in a market risk modelling capacity;
  • Design and implementation in a source-controlled environment; knowledge of continuous integration/continuous delivery approaches with particular focus on automated testing.

Role is working with quantitative modelling team with overall responsibility for market, liquidity and counterparty risk. The risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. The team's remit includes all the IMM models in use within the Bank, such as VaR/ES, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.

Job Summary & Responsibilities

In the context of the Targeted Review of Internal Models for Market Risk, the team is actively engaged in developing and rolling out new analytics and quantitative requirements to address a number of supervisory Obligations. The team requires a quantitative analyst with excellent programming skills to help deliver new analytics and requirements related to the market risk model monitoring process. The successful candidate will develop analytics required for off-production analyses and play a key role in integrating analytics in a production environment, in close collaboration with our colleagues in the Risk Systems team.

Working in close partnership with quantitative analysts and developers, and risk Systems personnel, the successful candidate will be expected to:

  • Develop a sound understanding of the proposed methodologies and quantitative requirements.
  • Develop, maintain and improve algorithmic code required to implement changes to existing environments (production and off-production).
  • Relay the quantitative requirements and constraints to the developers, business analysts and architects of co-operating teams, so as to ensure that the target architecture is designed to operate flexibly and efficiently, as well as undertake developments & maintenance activities.
  • Act as a representative in the project roll-out: advise on methodology requirements, perform user acceptance testing, etc.

We require solid quantitative background within a market risk environment. Continuous interaction with other teams within Risk and FO also strong communication skills.

Adlam Consulting operates as an Employment Agency & an Employment Business Applicants must be eligible to work in the specified location

Job Details

1306730530
ASAP
Not Specified
London, United Kingdom
Contract
£ £ - Daily Daily