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Luxoft is looking for talents with a passion for technology & ready to create original solutions. Once on board, you are invited to expand your knowledge & skills, offering you a continuous learning experience helping you stretch your potential.
So if you’re enthusiastic by the idea of accessing cutting edge technology & innovation to make an impact, why don't you join us?
- Design and develop a risk calculations framework including calculation modules, connectivity to data sources
- Reviews alternative implementations and suggests/implements improvements.
- Work with Risk IT to ensure quant code is seamlessly integrated within the banks’s IT systems
- Manage model release processes including integration, regression testing, user acceptance testing.
- Code C# quantitative libraries
Must:
- Expert C# .Net skills
- Extensive knowledge and prior experience with development tools like SVN, JIRA, TeamCity, Confluence
- Experience in coding numerical methods and algorithms
- Strong mathematical skills, excellent analytic, problem solving, and troubleshooting skills
- At least 4-5 years C# .Net development experience.
Nice-to-have:
- At least 5 years C# .Net quant development experience, preferably in a quantitative risk role.
- Expert C# .Net skills, Java development skills, Microsoft Excel/VBA, LINQ, XML, Visual Studio, .NET Framework
- Extensive knowledge and prior experience with development tools like SVN, JIRA, TeamCity, Confluence, etc.
- Strong knowledge of object oriented design and design patterns
- Strong mathematical skills, excellent analytic, problem solving, and troubleshooting skills
- Experience in coding numerical methods and algorithms
- Basic Quantitative Risk knowledge
- Written and verbal communication, team working skills
- Effective communication skills and ability to work well in a team and a relationship builder.
- Highly organized, good planner, tracker and chaser with ability to engage experts to deliver.
- Ability to produce high quality, accurate work, under pressure and to tight deadlines.
- Willingness to question and challenge the way things are done and to come up with alternative approaches.
About the Project: - FRTB Risk Methodology team within Quantitative Analytics has an opportunity for an experienced quantitative development professional to assist in the development of a C# based generic risk engine to be used for risk calculations. The candidate will work on implementation of model aligned with upcoming Fundamental Review of Trading Book (FRTB) regulations.
Our team: The Risk Methodology team reports to the Chief Risk Officer within Strategic Risk Management and is responsible: (1) creating models which capture market risk; (2) making sure those models adhere to regulatory guidelines; (3) implementing market risk models in IT systems; (4) describing and documenting models for regulators; and (5) establishing policies and processes covering market risk.
The Risk Methodology team, within Market and Liquidity Risk Management (MLRM), provides all market risk models for relevant products used in the Investment Bank. It provides clarity on those models to both internal and external parties, specifically regulatory bodies (e.g. PRA, FINMA). The team also deals with risk that cannot be adequately measured using the normal Value-at-Risk process, for instance, because the data surrounding that risk type is unreliable. These risks are known as Risks not in VaR (RNIV). The team’s activities also includes providing advice on risks which are not currently captured, applications to regulators for new risk models, ensuring that existing Risk models and processes currently approved by regulators comply with new regulations, aligning Front Office and Middle office processes, and maintaining a governance framework surrounding all market risk models. The team’s coverage is Global Market and Specific Risk. The team currently consists of around 50 people located into London, New York and Mumbai and Warsaw. The FRTB methodology team where this role will sit is a mixture of quantitative analysts and quant developers and is responsible for development and implementation of FRTB models.
Technologies used: C# .Net skills, Java development skills, Microsoft Excel/VBA, LINQ, XML, Visual Studio, .NET Framewor
Opportunities: The project (FRTB implementation) is at the forefront of new regulations that all banks will have to go through over the few years. Expertize accumulated is highly reusable both for FRTB regulations implementation but also more general, longer term development and implementation of risk regulations.
The project aims to build form scratch a large collection of models and the calculation framework hence offering design and optimization challenges. Day to day work would be in an intellectually stimulating and challenging environment.