- £70,000 - £80,000
- London and global offices
Are you a brilliant Quantitative Developer looking to progress your career in a very successful financial institution where you can play a pivotal role?
The Company and Role
Within this well known financial institution you have the opportunity to progress your career in a really exciting direction.
This new hire will be instrumental in the development and execution of analytics supporting model risk management activities. The role requires both in-depth technical programming expertise and a good understanding of risk management techniques and derivatives.
It provides an exciting opportunity for a technical expert looking for more breadth in a small team in a complex organisation. You will gain experience of derivative pricing models, market, credit, margin, and liquidity risk models, stress testing, as well as model performance and policy issues. Asset classes covered include interest rates, equities, energy, agriculture and cds, and funding products such as repo.
- Perform technical validation of pricing and risk models. This consists in assessing the conceptual soundness, performance and implementation of a model as well as the use, compliance with regulation and performing quantitative analyses, independent testing and challenging of data and models
- Writing high quality, detailed validation reports. These include a detailed scope, model description, testing results and recommendations for model enhancements
- Interacting with model owners, model developers, senior management etc, by whom your report and recommendations will be discussed and challenged
- Developing and maintaining analytics library used to support validation and on-going monitoring activities
- Providing expert assistance to team members on an existing codebase (Python, SQL, VBA)
- Acting as an expert sounding board on quantitative matters, providing support to other team members
Knowledge And Experience required for the Quantitative Developer
- Work experience as a Quantitative Analyst in either a Model Development or Validation Role at a financial services institution
- Professional and/or academic experience designing and developing applications and analytical libraries
- A postgraduate degree in a quantitative discipline (i.e., mathematics, computer science)
- Advanced programming in Python, R, SQL
- Strong analytical skills
- Strong verbal and written communication skills in English
- Teamwork and a collaborative attitude
- Ability to present complex issues in a clear and concise manner
- Confidence and the ability to provide challenge if required
- Additional qualification in Mathematical Finance
- Work experience developing infrastructure to support performance monitoring of models
- Familiarity with the banks or clearing regulatory frameworks for Model Risk and industry best practices
- Familiarity with Valuation and/or Risk Models (e.g. derivative pricing, market and counterparty credit risk models, stress testing models) across asset classes
- Familiarity with general statistics
- Familiarity with standard machine learning algorithms and libraries
- Good understanding of model governance including development and validation documentation requirements
- Experience with version control systems (e.g. GIT)
- Familiarity with BI tools, ideally Tableau and Alteryx
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.