Description
Quant Developer - Tier 1 BANK
London
12 months
£70 - £90 per hour
An established Tier 1 bank urgently require 2 Quants Developers to join the growing market risk team of 12 consultants. The role will involve developing portfolio risk models for market risk measurement and market risk capital requirements, working collaboratively with the rest of MRA.
In summary the role will involve the following:
Develop & test different methods of computing regulatory risk metrics, in particular Expected Shortfall, Sensitivity-based Standard Rules and Default Risk Charge
Take ownership of development tasks, participate in regular design and code review meetings
Understand business needs and partake in the configuration of new market risk tools
To apply for the role must have the following skills
Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (eg Front Office quantitative research, model validation) may be considered;
A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
Exposure to at least one of the following asset classes: FX, Interest Rate, credit, equity, commodities, preferably from a risk management perspective;
A good understanding and awareness of the regulatory framework for banks is desirable
Development experience in Haskell is preferred. However, happy to accept Python or C#.
Strong quantitative academic background preferred
First class academic record and a degree with a high mathematical and computing content
Ability to work on a variety of work streams/projects
Good team player
Strong communication skills & ideally experience communicating with Risk and Front Office consultants.