Quantitative Developer

European Bank for Reconstruction and Development; City of Westminster; On-site; GBP 60,000 - 90,000; Full time

Job summary

A leading international financial institution based in the United Kingdom is seeking a Quantitative Developer to model and analyse portfolio risk. The role requires strong quantitative skills in financial modelling and statistics, as well as the ability to communicate effectively across various teams. Ideal candidates will have significant experience in credit, liquidity, and market risk, holding an MSc in Quantitative Finance or Mathematics. The position offers a collaborative work environment focused on innovation and inclusion.

Benefits

Flexible working

Diversity and inclusion initiatives

Engaging and stimulating work environment

Qualifications

• Significant relevant financial industry experience.
• Ability to work under time pressure and meet deadlines.
• Good understanding of capital markets instruments.

Responsibilities

• Model and analyse portfolio risk for various financial instruments.
• Support strategic decision-making related to risk.
• Document changes to models and methodologies.

Skills

Quantitative analysis

Financial modelling

Risk management

Communication

Problem solving

Team collaboration

Programming (Python or C++)

Statistical analysis

Education

MSc in Quantitative Finance or Math/Sciences

Tools

SQL

ActiveViam

Summit

Job description

Quantitative Developer has significant knowledge of all aspects of credit, liquidity and/or market risk (methodology, development, implementation and monitoring for all types of financial instruments traded by the Bank); as well as Economic Capital and/or stress testing. As such, his responsibilities include modelling and analysing portfolio risk, maintaining portfolio risk measures and/or providing analytical risk reporting. Quantitative Developer works closely with other team members and delivers analytical, functional and technical support to the QRA function in identification of risks and review of compliance. The role provides guidance and advice to the Principal Risk Officer in support of operational and strategic decision-making related to own area of specialisation. Reporting to the Principal Risk Officer, the job holder undertakes projects focused on credit, liquidity and/or market risk methodologies, controls and processes. The role is also accountable for managing the testing and reporting environment, ensuring that the systems remain aligned with evolving business needs of the Bank, as well as for provision and integrity of management information relating to the bank's Economic Capital, Banking Equity & Treasury portfolio. Finally, Quantitative Developer participates in the Team's effort to maintain and enhance the in-house developed risk engine, QRE (Quantitative Risk Engine). Background Quantitative Risk Analytics (QRA) is a function within Risk Policy & Analytics (RPA) team of the Risk Management department. QRA's primary function is supporting the articulation of the Bank's Risk Appetite and developing informative Risk Measures and Analytics. The quantitative function covers the following aspects:

Quantitative Risk Analytics (QRA) function overview

Background Quantitative Risk Analytics (QRA) is a function within Risk Policy & Analytics (RPA) team of the Risk Management department. QRA's primary function is supporting the articulation of the Bank's Risk Appetite and developing informative Risk Measures and Analytics.

• Credit Risk: Responsible for the identification, measurement, analysis and mitigation of the credit risks taken by the Treasury and Banking, including exotic products, and engages with them to provide advisory in the pre-trading structuring, collateral mitigants and portfolio what-if analysis, as well as exposure management within agreed limits.
• Economic Capital & Stress Testing: Provides an internal estimate of overall and marginal Economic Capital consumption to facilitate capital allocation and management and leads the development and utilisation of the quantitative framework for the Bank's stress testing exercises.
• Market Risk: Responsible for the identification, measurement, monitoring and mitigation of market risks in the Treasury and Banking operations.
• Liquidity Risk: Responsible for the measurement and monitoring of Liquidity Risk for the local currency desk.

Accountabilities & Responsibilities

• Contribute to the presentation of RPA's point of view on technical credit, liquidity and/or market risk issues vis-à-vis other teams in the Bank, in particular IT, Finance, Treasury and Banking.
• Participate in the development or enhancement of risk methodologies and model changes. Perform adequate tests for the implementation of new pricers or changes in model simulation of risk factors. Quantitatively assess the appropriateness of the models changes for the corresponding financial instruments and their calibration.
• Document changes to the models or risk methodologies and provide detailed documentation as well as testing evidence for the model validation team to perform their validation exercise.
• Provide support in the setup of and monitoring of Treasury Portfolio and/or Market, Credit and Liquidity Risk limits.
• Contribute to the production of substantial periodic risk management reports to the Board of Directors including the Annual Report and Quarterly Performance Report. Select the risk measures most appropriate for each type of credit, liquidity and/or market risk regular reporting to VPs, TCRM, Treasury, Controller's, as well as for Economic Capital reporting (e.g. Marginal EC vs. Stand-Alone EC, Expected Loss vs. Unexpected Loss).
• Work closely with Treasury and Banking for simulation of Pre-deal "what-if" and sensitivity analysis.
• Design comprehensive specifications to identify and elaborate the precise business/risk management requirements and subsequent system changes required.
• Ensure that the risk management system remains operationally robust and leverage on modern design and technologies to implement changes.
• Ensure that the risk management system follows a diligent UAT procedure and that sign off emails prior to release are recorded.
• Quantify and analyse credit risks and help with transaction decisions in the rest of Risk Management and risk-taking departments.
• Assess the level of Economic capital required by the Bank to support its risk appetite and the credit, liquidity and market risks taken both in current portfolio and in the pipeline of future deals.
• Identify, measure, monitor and report the interest rate risks and foreign exchange risks in the Balance sheet management desk within Treasury, in particular as to the appropriateness of the models selected for transactions and their calibration.
• Provide advisory pre-trading structuring, collateral mitigants and portfolio what-if analysis for Treasury and Banking. Perform portfolio incremental exposure, sensitivities calculation and liquidity haircut calibration.
• Perform the regular market, liquidity and/or credit risks operational processes, including the ICF testing, valuation reconciliation, market risk factors parameters estimation, backtesting, add-on calibration and impacts analysis on the portfolio exposures.
• Participate in the in-house analytical/pricing library implementation including new scenarios generation models, pricing functions, sensitivities calculation or risk aggregations.
• Significant relevant financial industry experience from an investment or commercial bank, private equity, asset management firm or financial consulting firm operating to international standards.
• MSc in Quantitative Finance or Math/Sciences.
• Strong quantitative skills in financial modelling and statistics/econometrics.
• Significant practical experience with the implementation of credit, liquidity and/or market risk measurement methodologies.
• Good understanding of all major capital markets instruments across asset classes.
• Extensive knowledge of industry best practice and the latest status of regulation in the field of credit, liquidity and/or market risk.
• Good understanding of risk management and portfolio valuation techniques.
• Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.
• Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
• Ability to work to deadlines and under time pressure.
• A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be, through compromise and consensus building.
• Proficient in at least one programming language, e.g. Python or C++.
• Knowledge of ActiveViam(aoti) and/or Summit desirable.
• Knowledge of databases, SQL or others desirable.

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.

Diversity statement

Diversity is one of the Bank's core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.

• Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
• A working culture that embraces inclusion and celebrates diversity;
• An environment that places sustainability, equality and digital transformation at the heart of what we do.