Quantitative Developer

Hanover; Slough; On-site; GBP 90,000 - 120,000; Full time

Job summary

Hanover in the UK seeks an academically strong quant developer with a master's or higher in maths, physics, theoretical physics, or engineering. The role involves building computational models for reinsurance layers, discounted cashflow curves, and capital platform risk measures.

Candidates with coding ability and deep mathematical understanding are preferred; reinsurance experience is not essential but helpful. Office-based role in the UK with limited sponsorship prospects.

Qualifications

• Requires a strong mathematical background and ability to design computational models.
• Experience with quantitative analysis and development in a finance context is advantageous.
• Development/coding experience is valuable, but deep mathematics and theory are essential.

Responsibilities

• Design a computational model applying reinsurance layers to simulation files.
• Derive discounted cashflow curves for non-uniform business patterns.
• Model premium receipts, collateral funding, and timing uncertainty; compute expected return and loss timing sensitivity.
• Review capital allocation approaches and literature, and compare to alternatives.
• Review risk measures and portfolio optimisation algorithms; propose effective methods for capital platforms.
• Evaluate modern infrastructure as code (Azure) for dev, UAT, and prod environments.

Skills

Mathematical modeling

Numerical methods

Quantitative finance

Education

Masters in maths/physics/engineering

Tools

Azure

Terraform

Job description

Our client is an multi-strategy alternative asset manager in the reinsurance and capital markets space. They are looking for an academically strong quant developer with a masters+ level in maths/physics/theoretical physics/engineering field. They have a number of people in London and Bermuda.

Your manager has a PhD and would work with you on projects such as the following:

- Design a computational model applying reinsurance layers to a set of simulation files, taking into account ILWs, reinstatements, and adjustments that will want to flow through the whole programme.

- Given a non-uniform pattern of business being written through the year, a distribution of policy inception dates, earning profiles and settlement lags, derive the discounted cashflow curves.

- Model premium receipts, collateral funding, trapped collateral, claim payments, investment income, release mechanics and timing uncertainty. Then calculate expected return and sensitivity to loss timing.

- Take apart Neil Bodoff's paper on capital allocation and generalise it to apply to profit distributions. Take a view on it as compared to alternative capital allocation approaches.

- Write a review of risk measures and which we should adopt in the context of capital platforms.

- Review portfolio optimisation algorithms and make a proposal for the one that is most effective for various capital platforms.

- Review modern infrastructure as code, within the context of Azure and suggest how they can best use it in the implementation of dev, UAT and prod environments.

We are optimising for a mathematically strong candidate. Development/coding experience is great, although that can largely be AI-assisted these days. Understanding the mathematics is very important for them and that is much more difficult. Reinsurance experience is not essential and they would be open to hiring a top notch PhD although some business experience (especially quant finance/reinsurance/capital markets) would be ideal.

Please note this role will NOT lead to quant trading; if that's where your real interest is, this is not for you. This is predominantly on office-based role. They are unlikely to be able to sponsor work permits.