Market Risk Quantitative Developer (Python)

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:

    Contract

  • Salary:

    £600 - £724 per day

  • Contact:

    Phoebe Cheung

  • Contact email:

    phoebecheung@taylorroot.com

  • Job ref:

    PCH - Quant Risk_1598281697

  • Published:

    25 days ago

  • Expiry date:

    2020-09-14

  • Startdate:

    ASAP

  • Consultant:

    #

My client, a Top Tier Global Bank is looking for multiple Market Risk Quantitative Developers (Python). This is a PAYE day rate contract role based in London.

Responsibilities:

  • development and analysis of models for market risk measurement in the fixed income (FI) space
  • to develop code / prototypes in Python/Matlab/C++ for FI market risk models (IRC) using specifications provided by quants / modelers
  • to perform quantitative analyses for optimization of IRC
  • to develop code for interfaces to internal data systems used for IRC
  • to take part in development of FI market risk models methodology including work on FRTB-related models and model changes
  • Former experience in IR and Credit modelling on pricing or risk side will be preferred

Requirements:

  • Minimum Masters level in Math/Science/Engineering/IT discipline
  • Clear and demonstrable familiarity with key market risk measures and regulations
  • Good knowledge of Interest Rate and Credit products, pricing and risk models
  • Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite
  • Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
  • Ability to write clear and understandable technical documents
  • Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams
  • Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
  • Open personality and effective communication skills, ability and flexibility to work in an international team

For more details, please send your CV to phoebecheung@taylorroot.com

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