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Quantitative Developer

  • Prague, Czech Republic
Job #: 44708
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.

DESCRIPTION


Currently we are looking for a Quantitative Developer for our Prague office to make the team even stronger.

ABOUT PROJECT


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.

Responsibilities

  • 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
  • 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

Requirements

  • Master’s degree or PhD in Mathematics, Financial Mathematics, Statistics, Engineering, Econometrics, Physics or related advanced degree in quantitative fields
  • Knowledge of R, MATLAB, SAS, Python, or any other statistical language
  • Familiarity with SQL database query language (knowledge of Microsoft SQL Server and T-SQL is plus)
  • Knowledge of and practical experience with .NET 4.0+, C# is preferable
  • Understanding of financial domain and investment banking (knowledge of credit risk management is plus)
  • Excellent English written and verbal communication skills

We offer

  • We offer the possibility to work on full product lifecycle – from concept to delivery into production
  • Opportunity to work on leading edge FinTech platforms, working in a fast-paced, agile, software engineering culture
  • Using English on a daily basis, communication with people from different countries
  • Comfortable modern offices in Prague 4
  • 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)
  • Czech and English language courses
  • Start ASAP/negotiable
  • Relocation assistance including the coverage of the relocation costs (if needed)
  • Rotation program - possibility to relocate for short and long-term projects within 25 countries
  • Referral bonuses for recommended candidates
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