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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 the implementation of models aligned with upcoming Fundamental Review of Trading Book (FRTB) regulations.
The Models and Methodology team reports to the Chief Risk Officer within Global Market Risk Management and is responsible for:
1. creating models which measure market risk;
2. ensuring those models adhere to regulatory standards;
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 team 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 include 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, Mumbai and Warsaw. The FRTB 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. Warsaw Team: 4 people + 1 manager in London
Opportunities for you
The Fundamental Review of the Trading Book (FRTB) is at the forefront of new regulations that all banks will have to adhere to in the near future. Expertise accumulated in this area 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 from scratch a large collection of models on a newly established big data platform. The work will involve aspects of data modelling and will offer design and optimization challenges. The work will be both intellectually stimulating and challenging.
• Review alternative implementations and suggest/implement improvements.
• Work with Risk IT to ensure quant code is seamlessly integrated within the bank’s IT systems
• Manage model release processes including integration, regression testing, user acceptance testing
Must• Expert C# skills (C# 4), with at least three years’ development experience
• Strong knowledge of object-oriented design and design patterns
• Extensive knowledge and prior experience with development tools like SVN, JIRA, TeamCity, Confluence
• Strong mathematical skills, excellent analytic, problem solving, and troubleshooting skills
• Effective communication skills, with the ability to work well in a team and a relationship builder
• Ability to produce high quality, accurate work, under pressure and to tight deadlines
Nice to have• At least 5 years C# quant development experience in a quantitative risk role
• Basic Quantitative Risk knowledge
• Experience in coding numerical methods and algorithms
• Highly organized, good planner, tracker and chaser with ability to engage experts to deliver
• Willingness to question and challenge the way things are done and to come up with alternative approaches
• Development experience with Python and/or Java
- English: Upper-intermediate