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This regulatory modelling team is part of the Fixed Income Department's macro strategist team. It is focusing on model and quantitative development related to regulatory requirements.
The primary responsibility of the role is the development of a scenario framework for full revaluation scenarios for VaR calculations. This includes the design, development and testing of the framework and also the investigation of calibration and pricing problems. The solution will cover the entire macro business (Rates + FX), all models and product lines. The line of work also extends to additional applications of the developed toolkit to support the trading desks' risk management and hedging needs.
Skills required (essential):
Advanced degree in a quantitative subject such as Mathematics, Physics, Computer Science.
Strong programming and software design skills and ability to apply in a financial trading environment.
Expert knowledge of the programming language Scala, C++ or Java. Alternatively strong knowledge of a, preferably functional, programming language and proven track record of picking up another quickly.
Good interpersonal and confident communication skills.
Knowledge of or willingness to learn details of financial mathematical models.
Willingness to learn proprietary technologies and solutions.
Experience with VaR frameworks and/or financial models advantageous.