Quantitative Analyst # 104813

We Offer
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

The Models and Methodologies team within the Market and Liquidity Risk Management (MLRM) Department has an opportunity for a quantitative analytics/quantitative development professional to assist in the model development and implementation of a new risk based engine to be used for risk calculation under upcoming Fundamental Review of Trading Book (FRTB) regulations. This is an unusual opportunity to work within a dynamic and intellectually challenging environment for the delivery of a project sitting at the forefront of finance and risk regulations.. Candidates with an interest or expertize in both (financial) data analysis/modelling and coding are particularly encouraged to apply.

Duties and responsibilities will include
  • Develop models and implement a FRTB risk calculations framework including calculation modules, and data analysis tools
  • Code both and production (C#) libraries and prototypes (Python) for risk models
  • Analyse data and propose new models, review and challenge existing risk models
  • Reviews alternative implementations and suggests/implement improvements
  • Manage and train more junior members of the team, liaise with partners and senior management

Open to discussing flexible/agile working.

You Offer
She / he will have;
  • Proven financial sector experience in a quantitative role.
  • Deep understanding of Quantitative Risk/Quantitative Finance and preferably FRTB.
  • You will have strong mathematical skills, excellent analytic, problem solving, and troubleshooting skills.
  • C# .Net development experience, preferably in a numerical modelling/data analysis/data processing development role.
  • Experience in coding numerical methods and algorithms, strong knowledge of object oriented design and design patterns and prior experience with development tools like SVN, JIRA, TeamCity, Confluence
  • Willingness to question and challenge the way things are done and to come up with novel alternative approaches.
  • Ability to produce high quality, accurate work, to tight deadlines.
  • Real passion for problems solving in both maths and programming.
  • Relevant undergraduate degree (preferable MSc/PhD) in a numerate subject or equivalent work experience.
  • Excellent verbal and written communication skills in English.