- London, England, United Kingdom
- Permanent, Full time
- Credit Suisse -
- 22 Apr 18
Lead C# Quantitative Developer # 104813
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.
The Models and Methodologies team within the Market and Liquidity Risk Management (MLRM) Department has an opportunity for a quantitative development professional to assist in the development and implementation of a new risk based engine to be used for risk calculation under upcoming Fundamental Review of Trading Book (FRTB) regulations. This is an unusual opportunity to work within a dynamic and intellectually challenging quantitative environment for the delivery of a project sitting at the forefront of finance and risk regulations. Candidates with an interest or expertize in both (financial) data analysis/modelling and model implementation are particularly encouraged to apply.
Duties and responsibilities will include:
- Lead development efforts on design, prototyping, testing and implementation of quantitative risk models, risk calculation frameworks, libraries and data analysis tools.
- Lead development of both production (C#) libraries and prototypes (Python) for risk models.
- Analyse model implementation & libraries design, review and challenge existing implementation, design and develop innovative solutions and alternative approaches.
- Manage and train more junior members of the team, liaise with partners and senior management.
- Manage model release processes including integration and testing processes to ensure quant code is seamlessly integrated within the bank's IT systems.
Open to discussing flexible/agile working.
She / he will have;
- Proven experience in a quantitative development role.
- Extensive C# .Net development experience, preferably in a numerical modelling/data analysis/data processing development role.
- Strong knowledge of object oriented design, design patterns, data structures and algorithms.
- Experience in coding numerical methods and algorithms experience with development tools and methodologies like SVN, JIRA, TeamCity, Unity, nUnit, CI, Agile, TDD, BDD.
- Preferably python development experience or knowledge.
- Strong mathematical and problem solving skills.
- Good understanding of Quantitative Risk/Market Risk and preferably FRTB.
- Willingness to question and challenge the way things are done and to come up with novel alternative approaches.
- Ability to produce high quality, accurate work, to tight deadlines.
- Real passion for problems solving and innovative development solutions.
- Relevant undergraduate degree (preferable MSc/PhD) in a relevant subject or equivalent work experience.
- Excellent verbal and written communication skills in English.