Currently we are looking for a Quantitative Developer 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
- 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 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 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