RMA Quant Developer in England

RMA Quant Developer
£675 a day Inside IR35
9 months
3 days onsite

Market Data Replacement System

Continue development and integration of the RMA curve stripping framework to deliver historic zero curve data which matches Murex for the FMDM project;
Continue development of analytical tools to support data analysis and visualization as part of risk management data review;
Continue development of tools to assess VaR attribution and impact assessment in the context of IMA;
Support impact assessment parallel runs and unit and system integration testing;
Support relevant project related activities including stand ups and board meetings.

Model Governance

Support methodology documentation development and model validation review;
Support model risk governance and regulatory submission activities.

Systems Developments and New Products

Participate in the elaboration of tools to automate the market data analysis and review framework;
Develop and share methodology specifications in the form of a prototype with relevant IT and project teams.

Key interfaces

Establish a strong working relationship with the Quantitative Analysis Department (QAD), Global Markets trading function, the Model Validation and the relevant risk teams;
Provide stakeholders with answers to day-to-day requests while focusing on long term objectives.

Preferred Qualifications and Experience

Expected:

A degree (MSc / PhD) in Physics / Mathematics / Statistics / Finance;
Structured market risk FX and rates with strong curve modelling experience used in VaR, SVaR, RniV, back testing and stress testing to support historical simulation VaR model;
Advanced understanding of front office valuation across trading and banking book;
Extensive experience in market risk modelling either through a model development or model validation role;
Advanced practical and theoretical risk modelling knowledge including modelling techniques;
Advanced Python, C# / C++ / Matlab development experience including integration with Microsoft Office.

Desirable:

Practical and theoretical risk modelling knowledge including modelling techniques used in FRTB IMA / SBA, DRC model;
IRRBB EVE, NII and CSRBB model development experience;
Incremental Risk Charge (IRC) model development experience;
Murex experience;

Disclaimer:

This vacancy is being advertised by either Advanced Resource Managers Limited, Advanced Resource Managers IT Limited or Advanced Resource Managers Engineering Limited ("ARM"). ARM is a specialist talent acquisition and management consultancy. We provide technical contingency recruitment and a portfolio of more complex resource solutions. Our specialist recruitment divisions cover the entire technical arena, including some of the most economically and strategically important industries in the UK and the world today. We will never send your CV without your permission.