VP, Quant Developer (CCAR/IFRS9)

  • GBP70000 - GBP110000 per annum
  • London, England, United Kingdom
  • Permanent, Full time
  • Charles Levick
  • 23 Jun 17

My client, a tier 1 investment bank desires a quantitative finance experienced who has a good understanding of library and code design and strong industry experience developing in Python and C++ to join their QA group as a Quantitative Developer (Model Risk Management).

My client, a tier 1 investment bank desires a quantitative finance experienced who has a good understanding of library and code design and strong industry experience developing in Python and C++ to join their QA group as a Quantitative Developer (Model Risk Management).

Department Overview

The Financial Modelling group within QA is of central importance in supporting enterprise wide stress testing framework within the new regulatory environment. The primary role of the team is to develop and deploy industry leading statistical models for balance sheet evolution under different macro-economic scenarios. The projection models apply across the whole of corporate and investment bank balance sheet. These models are key components of lifetime expected loss calculation for IFRS9, Comprehensive Capital Analysis and Review (CCAR), Funds Transfer Pricing system and support Group Treasury function in determining optimal funding strategies.

Role Purpose

This is a quantitative developer role within QA Financial Modelling with responsibility for:
* Implementing and designing statistical projection models within IT infrastructure related to CCAR and IFRS9 regulatory requirements and Treasury functions.
* Maintenance and design of the QA Financial Modelling quantitative library, ensuring an efficiently organised library and adherence to coding standards, regression testing and continuous integration.
* This library supports quantification of funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the bank's asset / liability profile.

Key Accountabilities

* Design, build and deliver robust and production quality code within a unified library for use within Treasury and Corporate and International.
* Deliver high quality documentation and presentations to support and maintain model and library use.
* Work with QA Central to ensure delivery of robust python code to support model orchestration for CCAR and IFRS9.
* Assist with development of statistical models for projection of balance sheet under different macro-economic scenarios.
* Liaise with Treasury and business stakeholders to ensure that model requirements are met and implemented successfully in a production environment.

Person Specification
Essential skills and experience include:
* Post graduate degree in a quantitative discipline with a computer science component.
* Strong industry experience in quantitative finance. This may be replaced by relevant academic or industrial experience in computer science or statistics.
* Able to deliver to tight deadlines on quantitative projects.
* Strong industry experience developing in Python and C++.
* Good understanding of library and code design.

Preferred skills and experience include:
* Experience in delivering Python based quantitative finance models.
* Experience in statistical model development.
* Knowledge of CCAR and IFRS9.

Risk and Control Objective

All colleagues must ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards