Quant Developer (Senior C# Developer) (Ref.: EK/0519)

Are you creative and passionate about programming? The terms of calculation models, numerical methods and algorithms are familiar to you? You want to direct yourself to technical expertise working in ambitious and stimulating projects?


Join Margo!

Role overview:
As a Quant Developer, you will join FRTB Risk Methodology team within Quantitative Analytics to assist in the development of a C# based generic risk engine to be used for risk calculations. You will work on implementation of model aligned with upcoming Fundamental Review of Trading Book (FRTB) regulations.

The Risk Methodology team reports to the Chief Risk Officer within Strategic Risk Management and is responsible for:

(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;

(5) establishing policies and processes covering market risk.
As a member of the team, you are responsible for:

  • Designing and developing a risk calculations framework including calculation modules;

  • Reviewing alternative implementations and suggesting/implementing improvements;

  • Working with Risk IT to ensure quant code is seamlessly integrated within the bank’s IT systems;

  • Managing model release processes including integration, regression testing, user acceptance testing;

  • Coding C# quantitative libraries.

The position is ideal for you if:

  • You have advanced C# skills;

  • You have experience with development tools like SVN, JIRA, TeamCity, Confluence;

  • You have experience in coding numerical methods and algorithms;

  • You have strong mathematical skills as well as excellent analytical, problem solving, and troubleshooting skills;

  • You are a team player and your communication skills are on the high level;

  • You speak English very well.

Joining Margo you can expect:

  • Ability to work in international consulting company in ambitious projects

  • Permanent contract or B2B cooperation

  • Benefits such as medical care and sports card

  • Co-financing of trainings, certification exams and post-graduate studies

  • Internal training and the possibility of using our know-how

  • Possibility to use our library free of charge

  • Individual approach and development opportunities (career path planning, ability to change the project and position, possibility to get involved in outside-project activities with additional remuneration)

  • Possibility to influence the shape of the company, openness to your ideas and willingness to implement them

  • Very good working atmosphere, integration events

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