Quantitative Model Developer with Python

Job description

Quantitative Model Developer with Python

As a Quantitative Model Developer, you’ll be participating in the development & maintenance of regulatory & internal market risk models including: VaR, IRC and CRM. The area of activities includes: theoretical modelling, empirical-testing, historical back-testing, statistical analysis of relevant market data, numerical implementations of analytical modules, model & methodology documentation, provide support for present risk applications and models, provide analytical support to the Risk Managers.

Our client is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. They offer careers that provide endless opportunity – helping millions of individuals and businesses thrive, and creating financial and digital solutions that the world now takes for granted.

What will you be doing?
• You will be maintaining current risk applications and models on a regular bases
• Coming up with clear and solid designs to implement proposed modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
• Delivering prototypes using or extending as appropriate our Python-based modelling platform
• Developing the models in Python and assist IT to integrate them into the production system
• Participating to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework.
• Supporting Risk, FO and IT users of our analytics as and when required

What we’re looking for:
• Solid years of hands-on Programming skills in Python.
• Nice to have: Experience in implementation of risk models and web development
• Proactive and detail-oriented person, yet adaptable to changing requirements and flexible at the same time.

Skills that will help you in the role:
• Experience in development of market risk, or quantitative pricing models, flowing SR11-7 standard 
• Some experience in development of market risk, or quantitative pricing models, following SR11-7 standard 
• A plus is knowledge of financial (e.g., Interest rate products including exotics, Corporate Bonds and Credit Derivatives, Equities, FX, Commodities)
• Analytic skills: financial mathematics, time series, statistical analysis, numerical analysis, etc.


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