Company overview

Our client is a well establish international Investment Bank.

Department overview:

Risk IT is a global division responsible for the implementation, delivery and support of software used by the Risk Management division. Our systems calculate various counterparty and market risk metrics for the entire firm’s trading books, and provide users with the means to query those results through a variety of UI and reporting tools.

The Risk Engines group is a global group responsible for the systems which handle the exposure and stress calculations, across both Credit and Market Risk. We interact with business users such as the risk quantitative analysts and risk managers. The sheer volume of daily data means we have to consider innovative solutions to allow our compute and data storage capabilities to scale with the demands of increasing trade populations and regulatory-driven business requirements.

Description:

FRTB is an industry-wide regulatory initiative to which includes proposals to introduce a framework for Market Risk. We require an experienced Java developer to join the Market Risk Engine team to work on FRTB, initially on IMA. Our tech stack is predominantly distributed Java and Python services, with relational and distributed databases, GemFire as a caching layer and ActivePivot for real-time interrogation of aggregated risk metrics. We use Python, mostly as a scripting layer, but also for rapid prototyping and development of services. We are also building out a Hadoop store of market risk data, which incorporates Dremio for data querying and both Arrow and Parquet as columnar data formats.

The successful candidate will work on the build-out of new functionality for FRTB / IMA. They will need to work closely with Methodology quants, and to work with developers and BAs across the 3 main offices. They will be expected to adapt to new technologies quickly, and to work across a range of data-oriented tech including ActivePivot, Hadoop, and Public Cloud Compute Technologies like AWS. From time to time they will have to analyse requirements, propose designs (for example for new services), circulate them for feedback, break the design down into tasks and execute them. The ability to be clear and precise in both written and verbal communication is also critical.

Skills, experience, qualifications and knowledge required

• Java – core language (Java 8+), multi-threading, performance optimisation.
• Numerate.
• Python (experience w/ pandas, numpy).
• Market Risk - general concepts.
• Experience of working either with Methodology/Quants or on pricing/risk models.
• Market Risk – VaR methodology, P&L Explains/Predict, FRTB, SBA, IMA.
• Distributed, service-oriented architectures.
• Hadoop, Dremio and the related ecosystem.
• ActivePivot, GemFire or similar in-memory cache/aggregation technologies.
• AWS Technologies