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My client, a leading Investment Bank, are looking to recruit a Quantitative Developer to join the Quantitative Analytics Central team working on the development, support and integration of models for the company's loan portfolio.
The modelling areas covered will include Wholesale Credit risk, loan valuation, economic capital and financial modelling covering both BAU and driver based modelling requirements.
Loan portfolio models are implemented with C++ in a new analytics library called Omega or using python within Model Execution Framework (MEF).
The Omega C++ library is focused on modern development techniques, hardware and analytics. Omega will be integrated into various IT systems in the bank over coming years. The C++ aspect of the role is in the central team involves assisting asset class focused teams with Quantitative Analytics to develop analytics within Omega including responsibility to develop and support common components to allow sharing of analytics across both trading and banking book modelling areas.
Model Execution Framework (MEF) is a python framework developed and supported by QA Central which orchestrates and executes a system models developed by QA teams across Risk, Finance & Treasury. Using Macroeconomic scenarios as input MEF is utilised across the investment bank, Wealth and Cards business to deliver regulator driven modelling requirements, and is used by the company to deliver both CCAR capital ratios projections and IFRS9 Impairment model for our loan portfolio.
The role in QA Central will require a quant developer with core responsibilities: * Technical analysis, design, coding, support, maintenance and testing of components/models within the Model Execution Framework & OMEGA for loan portfolio modelling requirements * Python o Development of extensions to the MEF for IFRS9, CCAR/PRA Stress testing and medium-term planning requirements across UK and Corporate & International functions. o Support model developers from of Quantitative Analytics group with design, integration and onboarding of their models into MEF and IT infrastructure. o Design, implement and document common driver based models following the model development life cycle. o Numerical analysis covering both signoff of model integration and sensitivity analysis. * C++. o Support model developers from of Quantitative Analytics group (QA Wholesale Credit, QA Banking Book Capital, QA Financial Modelling) with design, integration and onboarding of their models into OMEGA and IT infrastructure. o Design, implement and document common analytics following the model development life cycle.
* Technical analysis, design, coding, support, maintenance and testing of components within the MEF & OMEGA. * Responsible for communicating code design clearly to others. * Work alongside model developers to support development, delivery and integration of their models into MEF framework, OMEGA Library & IT infrastructure. * Extension of MEF to support new regulatory frameworks (CCAR, IFRS9, PRA Stress Testing) and Driver Based Modelling for the Group. * Strong contribution to the knowledge build out within the MEF team and strategic (off the shelf) technology recommendations for enhancing the MEF solution. * Developing and supporting tools and techniques that assist colleagues developing in Omega. * Supporting and directing other teams in QA to integrate models into the new library. * Reviewing other's work and upholding standards consistently and proactively throughout the library. * Developing and supporting tools and techniques that assist colleagues developing in Omega.
Required Skills & Experience:
* Bachelor's Degree in Computer Science, Maths, Physics, Chemistry or Engineering. * In depth C++ knowledge. * In depth python knowledge. * Testing and documentation. * Experience developing in a shared codebase with multiple developers. * Experience at bringing new models or analytics into production. * Software engineering techniques. * Experience in financial institution delivering models. * Good written and verbal communication in English.
Preferred Skills & Experience:
* Master's Degree or PhD. * Multi-platform development (Windows, Linux) * Tools and techniques for working within a large C++/Python class library. * Driver Based Modelling & Statistical Analysis experience. * Loan portfolio analytics experience around Wholesale Credit Risk, Economic capital, correlated default simulation. * Regulatory experience in CCAR/PRA stress testing or IFRS9 impairments. * Quant library experience. * Functional languages.