Quant Developer

Location: Warsaw, Poland

Model of cooperation: contract of employment

Project model: internal hiring

Holiday: 26 days days

Relocation package: Yes

Office hours: 7-19

Technologies used: C# or Python

Benefits: 1-2 day of remote work; A range of in-house training programs focused on personal effectiveness, leadership and management skills, presentation skills, and client coverage skills; Dedicated Talent Programs, which give our highest-potential employees the opportunity to accelerate their leadership development; Family-focused programs including maternity, paternity and adoption leave, childcare services and eldercare advice; Opportunities for health and wellness programs, and internal fitness centers; Internal cafeterias and staff restaurants; Employee discounts on various products and services; Competitive compensation packages.

Requirements:

  • Understand the products traded and trading strategies used.
  • Identify all sources of market data.
  • Develop and specify processes around the internal market risk models and their associated time series.
  • Understand risk models (ES/VaR & RNIV) currently in use and proposed regulatory changes.
  • Develop risk methodologies to be used for market risk measurement.
  • Implement prototype solutions in C# (or some other relevant programming language) for methodology changes and enhancements.
  • Evaluate the impact of the new models and capital rules.
  • Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
  • Closely collaborate with the data team and make sure that the historical data used in all calculations are correct.
  • Closely work together with the change teams, to guarantee that any changes to methodology are appropriately project-managed for implementation.
  • Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.
  • You hold a first degree and MSc. in mathematics, theoretical physics, econometrics, statistics or engineering, preferably followed by a Ph.D. in one of those areas or in finance.
  • You have deep understanding of financial mathematics, and in particular an understanding of a wide range of derivative instruments and the risks they generate.
  • You have the ability to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments.
  • You possess minimum 3 years experience in software development.
  • You have some programming experience in C# and Python is required.
  • You have advanced Excel knowledge and familiarity with Microsoft Office products.
  • You possess good verbal and written communication skills in English.
  • You have analytical skills, as well as computational and communication skills – required.
  • You are able to work in autonomy and in an active manner in order to progress any initiatives independently.
  • You have background in time series analysis, statistics and probability theory would be of particular interest.
  • You’re able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies.

Soft skills: Ability to develop and maintain strong internal and client relationships; Experience working through organizational change, developing and implementing creative solutions and closely partnering with clients to regularly confirm expectations are met and value delivered.

Company industry: Finance

Work place: Warsaw, city center

Project description: The Risk division is a highly visible, dynamic area of the firm where you can be an integral part of decisions making that supports the bank’s business. Our responsibilities range from enterprise risk management to risk and finance reporting and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels. The main responsibility of this role would be the development and specification of market risk methodology and time series across multiple asset classes for regulatory purposes. You will become a lead SME on market Data Modellability for FRTB.

Project start date: ASAP

Project duration: Long-term

Hourly pay: Depends on your experience

Company website: www.gsservices.pl