Quantitative Developer - VP

  • £110,000 - £120,000
  • London, England, United Kingdom
  • Permanent, Full time
  • Empiric , EA Licence No: 11C5671
  • 31 Aug 17

My client is looking for a strong quantitative candidate (VP level position) with financial modelling experience to join their Strats team based in London. My Client is building out a team that would use machine learning and statistics to build sophisticated deposit models. The role require good statistical and business knowledge and demonstrated ability to build deposit models that have a sound mathematical backing and at the same time are intuitive and usable by the business.

Description:

Seeking a quantitative developer with financial modelling, statistical analysis and risk management experience to develop retail deposit models for our global deposits platform. The Strats group plays an important role in financial management of the Banking entities at the Firm. This includes developing the Bank's ALM strategy, Funds Transfer Pricing (FTP) framework and the analysis and management of market, liquidity, interest rate and funding risks in the Bank's business.

 

Essential:

  • Develop liquidity and interest rate models for deposits including non-maturity deposits and term deposits,
  • Analyse customer deposit behaviour and build analytics based on historical industry data
  • Develop tools and systems for Asset Liability Management of the balance sheet including interest rate risk, funds transfer pricing and CCAR/DFAST.
  • Advanced degrees in statistics, computer science, math, physics or engineering.
  • Strong coding skills preferably with a working knowledge of Java, C++ or Python.
  • Strong understanding of statistical concepts, optimization techniques and experience building non-linear models.
  • Good knowledge of ALM and liquidity considerations at Banks
  • Good SQL/database experience 
  • Strong verbal and written communication skills.