FINANCIAL SERVICES RECRUITMENT
LONDON | NEW YORK
My client, a leading Investment Bank, are looking to recruit a Quantitative Developer to join the Quantitative Analytics Central team working on the development, support and integration of models for the company's loan portfolio.
The modelling areas covered will include Wholesale Credit risk, loan valuation, economic capital and financial modelling covering both BAU and driver based modelling requirements.
The role in QA Central will require a quant developer with core responsibilities:
* Technical analysis, design, coding, support, maintenance and testing of components/models within the modelling requirements
o Development of extensions to the MEF for IFRS9, CCAR/PRA Stress testing and medium-term planning requirements across UK and Corporate & International functions.
o Support model developers from Quantitative Analytics group with design, integration and onboarding of their models into MEF and IT infrastructure.
o Design, implement and document common driver based models following the model development life cycle.
o Numerical analysis covering both signoff of mod el integration and sensitivity analysis.
o Support model developers from of Quantitative Analytics group (QA Wholesale Credit, QA Banking Book Capital, QA Financial Modelling) with design, integration and onboarding of their models into IT infrastructure.
o Design, implement and document common analytics following the model development life cycle.
* Technical analysis, design, coding, support, maintenance and testing of components within the MEF.
* Responsible for communicating code design clearly to others.
* Work alongside model developers to support development, delivery and integration of their models into the framework, Library & IT infrastructure.
* Extension of MEF to support new regulatory frameworks (CCAR, IFRS9, PRA Stress Testing) and Driver Based Modelling for the Group.
* Strong contribution to the knowledge build out within the MEF team and strategic (off the shelf) technology recommendations for enhancing the MEF solution.
* Developing and supporting tools and techniques that assist colleagues.
* Supporting and directing other teams in QA to integrate models into the new library.
* Reviewing other's work and upholding standards consistently and proactively throughout the library.
Required Skills & Experience:
* Bachelor's Degree in Computer Science, Maths, Physics, Chemistry or Engineering.
* In depth C++ knowledge.
* In depth python knowledge.
* Testing and documentation.
* Experience developing in a shared codebase with multiple developers.
* Experience at bringing new models or analytics into production.
* Software engineering techniques.
* Experience in financial institution delivering models.
* Good written and verbal communication in English.
Preferred Skills & Experience:
* Master's Degree or PhD.
* Multi-platform development (Windows, Linux)
* Tools and techniques for working within a large C++/Python class library.
* Driver Based Modelling & Statistical Analysis experience.
* Loan portfolio analytics experience around Wholesale Credit Risk, Economic capital, correlated default simulation.
* Regulatory experience in CCAR/PRA stress testing or IFRS9 impairments.
* Quant library experience.
* Functional languages.
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 08 Dec 17