Quantitative Analyst / Developer - Risk C# or C++ Investment Banking
An individual with a solid quantitative background within a market risk environment. With development skills in Python C# or C++ and Java.
To be successful in this role, the candidate should meet the following requirements:
- Practical knowledge of derivatives, their risk drivers and pricing models (IR/FX asset class);
- Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
- Excellent programming skills, including statically-compiled languages such as C++, C# and Java. C# knowledge is highly desirable. Experience in programming in Python is also desired.
- Proven experience in a quantitative finance environment, preferably in a market risk modelling capacity;
- Design and implementation in a source-controlled environment; knowledge of continuous integration / continuous delivery approaches with particular focus on automated testing;
- A strong academic background, for example a Masters in mathematics, physics or quantitative finance;
- Contribute to the delivery of this methodology project, gathering and documenting requirements, considering all stakeholders' interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes;
- Investigate, analyse and design the risk method, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints;
- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
- Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation tea
In the context of the Targeted Review of Internal Models for Market Risk, this team is actively engaged in developing and rolling out new analytics and quantitative requirements to address a number of supervisory Obligations.
The team requires a quantitative analyst with excellent programming skills to help deliver new analytics and requirements related to the market risk model monitoring process. The successful candidate will develop analytics required for off-production analyses and play a key role in integrating analytics in a production environment, in close collaboration with our colleagues in the RISK Systems team.
Inside IR35 ; Partly Remote
Adlam Consulting operates as an Employment Agency & an Employment Business Applicants must be eligible to work in the specified location