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 Business Analyst/R Developer for our Prague office to make the team even stronger.
Tier 1 investment bank is seeking a Business Analyst / Quantitative Developer to assist Credit Risk IT projects. Primarily 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.
Write new functionality using R language;
Review of Standardized modeling framework: business requirements gathering; regulatory methodologies implementation and verification;
Review of 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;
Strong mathematical background including stochastic calculus and numerical methods including Monte Carlo simulation methods;
Special requirements for this position is development experience in R, as this is the primary language for our applications;
Understanding of financial models, statistical analysis and econometrics;
Excellent written and verbal communication skills;
Familiarity with SQL database query language;
IT background or some experience in programming is preferred.
Business Analyst/R Developer Prague, Czech Republic
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