Striving for excellence is in our DNA. Since 1993, we have been helping the world’s leading companies imagine, design, engineer, and deliver software and digital experiences that change the world. We are more than just specialists, we are experts.
Currently we are looking for a Quantitative Analyst for our Prague office to make the team even stronger.
Our client, a Tier 1 Investment Bank, is seeking a Business Analyst/Quantitative Developer to assist Credit Risk IT projects. The primary responsibility will be the research and implementation of regulatory calculations with the heavy emphasis on information technology. The work covers validation and collaborative implementation of credit risk valuation methodology conforming to Basel III requirements for equity derivatives, FX, interest rate and credit derivative products, security financing trades and exchange traded derivatives.
The Quantitative Analyst will be exposed to pricing models across Basel II/III, regulatory metrics calculation, capital management, counterparty risk, model approval, risk framework development, stress testing and model back testing.
Review the standardized modeling framework: business requirements gathering; regulatory methodologies implementation and verification;
Review the derivatives modeling framework: risk-factor simulation, derivatives valuation, model calibration, exposure aggregation and credit risk measure extraction;
Work with programmers in design, development and implementation of credit risk valuation systems;
Assist in the technical review of new and existing credit risk methodologies to sign off the models being implemented;
Research, analyze and present results in a professional format.
Master’s degree or PhD in Mathematics, Financial Mathematics, Statistics, Engineering, Econometrics, Physics or related advanced degree in quantitative fields;
Knowledge of and practical experience with .NET 4.0 +, C#;
Familiarity with SQL database query language (knowledge of Microsoft SQL Server and T-SQL is plus);
Knowledge of R, MATLAB, SAS, Python, or any other statistical language is preferable;
Understanding of financial domain and investment banking;
Excellent English written and verbal communication skills.
Nice to have
Credit risk management knowledge.
Opportunity to work in a successful international company with a stable background;
Possibility to work in a friendly multicultural environment, using English on a daily basis and growing professionally within worldwide EPAM;
Guaranteed professional growth through the technology trainings and technology communities inside EPAM;
Regular IT trainings and good opportunities for professional growing and development;
Large space for self-fulfillment and participation in new projects;
Motivating financial evaluation (negotiable, based on an expertise and achieved results);
Competitive compensation depending on experience and skills;
Benefit program (5 weeks of vacation, 5 sick days, wage compensation for the first three days of illness, meal vouchers, flexi pass, annual coupon of Prague city public transport, multisport cards);
Comfortable and modern offices in Prague 4;
Start ASAP / Negotiable.
Quantitative Analyst Prague, Czech Republic
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