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Quant Developer

  • Job type: Permanent
  • Location: City of London, London
  • Salary: £95000 - £135000 per annum
  • Job reference: 351093/002_1536937034
  • Sector: Selby Jennings, Risk Management
  • Date posted: 14/09/2018

Leading UK investment bank is seeking a quantitative developer to join the high performing ALM Model Development team, which reports to the head of QA-Asset & Liability Management. This highly quantitative and technical team is responsible for managing models for the balance sheet and income statement forecasting process. The models will develop and organise statistical models designed for balance sheet progression designed for various macro-economic situations.

On a day to day, the incoming candidate will be expected to lead development of ALM and balance sheet management models in order to appropriately support and provide analytics around the income statement exposures, underlying assets and sensitivities.

Close stakeholders include business planning and finance teams, interest rate risk management teams, and stress testing teams. The role will report to the Head of ALM Analytics.

Responsibilities

  • Design, develop, and prototype asset liability management models
  • Manage models for the balance sheet and income statement forecasting process
  • Support the transfer pricing modelling and execution
  • Support the development of the risk engine which is used for scenario analysis in support of planning, stress testing, and interest rate risk
  • Work together with various stakeholders in setting up various forecasts and scenarios in the risk engine

Essential Skills

  • Masters or PhD with a computer science element
  • Experience in the quantitative finance industry developing code in Quantitative Libraries
  • Quantitative experience in an ALM, Treasury, or Liquidity Risk Management
  • Knowledge of library and code design
  • Substantial experience developing Python and C++ libraries (source control and release process)
  • Understanding of significant procedures for CCAR, IFRS9 and IRRBB
  • Able to develop statistical models
  • Stakeholder management and communication skills
  • The ability to meet tight deadlines on quantitative project
  • Management experience
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