• Permanent, Full time
  • Anson McCade
  • 2019-05-20
  • London, England, United Kingdom
  • Negotiable
  • Full time

Quantitative Developer for the Risk and Capital Strat team

You will become an integral part of an overall CIB Strat team working to migrate all Global Markets businesses to the single strategic analytics platform and your focus will be primarily on delivering cross-business functionality for Risk and Capital calculations.

Quantitative Developer for the Risk and Capital Strat team
London based

The CIB Strat team combines expertise in quantitative analytics, modeling, pricing and risk management with deep understanding of system architecture and programming. The primary output is a scalable and flexible Front Office pricing and risk management system with consistent interface to Market and Credit Risk, Finance and Treasury. The consistency in analytics and the technology platform ensures that no arbitrage can exist between various parts of the Bank as well as rational allocation of constrained resources, including risk budget, balance sheet, funding, and capital.

You will become an integral part of an overall CIB Strat team working to migrate all Global Markets businesses to the single strategic analytics platform and your focus will be primarily on delivering cross-business functionality for Risk and Capital calculations.

Key responsibilities:

  • Participate in the development of a C++ quant library that is used across Front Office, Risk, Finance and Treasury functions, with a particular focus on the functionality required for the delivery of cross-business risk management and capital calculations.
  • Participate in the development of the CIB-wide cross-business risk and market databases, enabling all functions (FO and second line) to access risk and market data in a consistent taxonomy and using the same analytical library.
  • Rigorously focus on production stability, completeness and accuracy of all calculations affecting the firm's capital.
  • Depending on the level of your quant and modelling expertise, contribute to the modelling effort and definition of requirements around risk and capital calculations and work in tandem with experienced quants on the implementation of these models.

Projects currently in focus:

  • FRTB internal model (expected shortfall, default risk charge, non-modellable risk factor charge).
  • Sourcing of bank-wide sensitivities for FRTB Standardised approach model, analytical transformation into standardized representation across the full scope of asset classes, attestation of accuracy and completeness and implementation of a workflow with a well-defined SLA.
  • Development of a Market Data Utility covering the full set of risk factors that go into the bank's Market and Credit RWA processes, including standardized time series going back to 2007, definition of proxies and construction of benchmarks and various analytic functions linked to the market data (calibrations, interpolation, observability, backtesting).

You will have:

  • Strong computing and programming (coding) skills, preferably C++ and Python.
  • Experience of writing production code and a strong desire to continue doing this on a day-to-day basis.
  • Strong numerical, mathematical and data modelling skills.
  • Strong quantitative analytic skills and or in case of a more pure IT background, successful experience of working very closely with FO quants.
  • The skills to solve complex business problems.
  • Experience of estimating complex tasks and ability to set realistic deadlines and deliver on them.

You will be:

  • A team player with strong interpersonal skills, leadership skills and multi-cultural understanding.
  • Able to multi-task different projects and prioritize against tight deadlines.
  • An excellent verbal and written communicator paired with strong presentation skills.