Senior Quant Developer
You will be smoothly taken on top of technical and methodologic projects aspects. Your first tasks will be focused on methodology implementation improvements & adjustments with providing full testability under senior team-member guidance. Having acquired more expertise, you will do in-deep analysis of delivered data model, data availability and their fit into our Model, yet being continuously engaged in direct development works. We will constantly expect you to focus on maintainability, efficiency and architecture of the code. Future will bring you an opportunity to cover other platforms, models and get more into modelling itself. On the way, we will listen to your opinions, involve you in discussions, brainstorm and confront ideas and ask to share experience and knowledge.
We develop on Bank strategic platforms the code implementation of Financial Models calculating obligatory capital charge. Platforms with generic capabilities (e.g. data sourcing, calculations parallelization, error reporting, front end) are delivered by IT teams. Models (i.e. algorithms, mathematical equations, prototype code) are delivered by Financial Analysts. We collaborate very closely with both sides, understanding their needs and constraints, finally establishing automatically built and tested Models with a strong focus on architecture and maintainability.
Some bank details if you are interested
We, Quant Developers, together with Financial Analysts from above, Quant Analysts, create one team from big Credit Analytics family. Quant Devs focus on Software Development; Quant Analysts on Modelling. We work currently on FRTB DRC calculations - Basel IV driven risk models - but we will cover more Credit Models in future.
How do we work as a team?
We work mainly on C#4.0 based platform, supporting others (e.g. based on C++17, R, Python). ~70% of the time takes features and automated tests development, while rest is used for their consulting, analysis and DevOps tasks. We create open and honest environment with mutual support, sharing knowledge & skills. We value the team spirit, respecting in the same time individuals and their needs (e.g. flexible work time/partial remote work). Make-things-done attitude, software engineering excellence and domain knowledge are highly appreciated. Green-field environment on bank cutting-edge platforms enables us to experiment with our way of collaboration.
Who we're looking for?
You have good knowledge (≥3 years) of at least one OOP language (preferred C#, C++ or JAVA) and openness for learning others (including R, Python, etc.).
- You are experienced in software engineering (≥3 years), e.g.: TDD, CI, Clean Code approach, Design Patterns, Big O awareness, architecture and DevOps skills.
- You are fluent in English
- You communicate & work well in quickly changing, multi-team, international environment
- You are independent, challenge the status quo, but contribute to the wider team's work
- You are interested in financial, quantitative and statistical knowledge and would like to grow in these domains.
- Risk knowledge
- FRTB projects involved