Quantitative Developer

European Bank for Reconstruction and Development; Greater London; On-site; GBP 60,000 - 80,000; Full time

Job summary

A leading international financial institution in Greater London is seeking a Quantitative Developer to enhance software infrastructure and support risk analytics. The role involves programming in Python and C++, maintaining high coding standards, and integrating robust tools for performance improvement. The ideal candidate will have over 3 years of experience in software development, a strong understanding of quantitative finance, and a Master's degree in a relevant field. The position promotes a collaborative and inclusive work environment.

Benefits

Diverse and inclusive work environment

Opportunity to work on impactful projects

Flexible working arrangements

Qualifications

• 3+ years professional experience with modern Python or C++.
• Demonstrates solid knowledge of software engineering best practices.
• Experience with DevOps practices, including CI/CD and automation.

Responsibilities

• Design and maintain the software infrastructure of the team.
• Participate in design and development of in-house software solutions.
• Assert and maintain high coding standards across software ecosystem.

Skills

Professional experience with modern Python or C++

Proficiency in C++ (data structures, algorithms, design patterns)

Proficiency in Python (data manipulation, integration with C++)

Problem-solving and debugging skills

Knowledge of quantitative finance and risk modelling

Education

MSc in Finance or Sciences

Tools

Git

Machine learning frameworks (PyTorch, Google Colab)

Job description

Purpose of Job

Quantitative Developer will be a core member of the quantitative development team. The individual will be responsible for the overall software infrastructure used by QRA and other risk teams. This includes necessary software upgrades to make sure the team is equipped with best-in-class and latest software components and setting up the software tools for the seamless use by fellow team members. Successful candidate will work on maintaining production codebases, ensuring high performance and reliability, and integrating languages and components with low friction into the toolchain. He will also be the key contact on any matters related to coding standards within the Team, ensuring these standards are implemented and adhered to.

The individual will participate in the development, maintenance, and performance improvement of risk libraries, software infrastructure, using Python and C++ as the primary languages. In addition, the incumbent will be involved in setting up version control software, monitor the performance of the in-house developed code and help the team implement more robust automated testing and continuous integration processes.

As a good to have, the incumbent will have a good overall understanding of identification, measurement and modelling of credit and market risks. Familiarity with derivatives or financial products in addition is highly desirable. Quantitative Developer will from time-to-time be involved in different projects with a large development component, such as designing aggregation measures and reports that will help the Management better understand the overall portfolio risks.

Background

Quantitative Risk Analytics (QRA) is a function within Risk Models, Model Validation and Stress-Testing 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:

• 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: Provides an internal estimate of overall Economic Capital consumption to facilitate capital allocation.
• 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

Depending on the area of specialisation, Quantitative Developer is responsible for all or most of the following:

• Designing and maintaining the software infrastructure of the team. Perform any necessary upgrades to ensure the Team has the best-in-class toolset to work with. This includes setting up the IDEs and installing any necessary packages and environments.
• Participate in the design and development of in-house developed software solutions. Assist in maintenance and performance improvement of the existing in-house risk library and overall Team’s software infrastructure.
• Assert and maintain high coding standards across the Team’s software ecosystem. Provide advice on these matters positively influencing the state of any in-house developed software solutions.
• Collaborate with IT teams to resolve any BAU issues the Team might be facing.
• Participate in forums related to any dependencies pertaining to IT matters with the potential to influence the Team’s work.

Knowledge, Skills, Experience & Qualifications

• 3+ years professional experience with modern Python or C++.
• Proficiency in C++: good knowledge of data structures, algorithms, and design patterns.
• Proficiency in Python: ability to prototype, write scripts, and do the data manipulation along with integration with C++ code.
• Experienced in setting up and maintaining development environments and toolchains for Python and C++.
• Demonstrates solid knowledge of software engineering best practices, encompassing version control with Git, peer code review, and systematic unit and integration testing.
• Good problem-solving, debugging, profiling skills.
• Familiarity with HTTP-based APIs and methods.
• Knowledge of quantitative finance, risk modelling and derivatives is a plus. Familiarity with P&L explain is a good-to-have.
• Experience with DevOps practices, including CI/CD and automation, is advantageous.
• Knowledge of R and Julia is a good-to-have.
• Knowledge of setting up modern machine learning frameworks (e.g., PyTorch, Google Colab) is considered an asset.
• Good communication skills, ability to work cross‑functionally.
• MSc in Finance or Sciences.

What is it like to work at the EBRD?

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.

The EBRD environment provides you with:

• 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.

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.

Please note, that due to the high volume of applications received, we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).