Quantitative Risk Developer

Voor een directe eindklant in Den Haag op zoek naar een Quantitative Risk Developer.

Startdatum: ZSM

Duur: 6 maanden

Inzet: 40 uur per week

Quantitative Risk Developer

Within the Portfolio Risk Management (PRM) team there are dedicated specialists to develop new

methodologies for risk management by expanding the functionality of the proprietary risk system Risk

Vision (RV). The development team consists of 6 people divided into smaller units of expertise in order

to deliver new system components and improvements. Currently, there is a need for a Quantitative Risk

Developer role that supports the development of the quantitative risk models that are needed to launch

or improve various business initiatives or regulatory requirements.

The successful candidate for this role will work closely with the two senior Matlab programmers and

collaborate with them to code the quantitative risk models using their quantitative risk expertise in order

to implement the best market practices in the financial risk related modelling.

Key Responsibilities

• Understanding the various components to that are needed to code like key parameters, the

input/output data, assumptions (if any) and best practices.

• Coordination with the rest of the programmers to incorporate the changes in the overall RV

executable and the best method to fit it in the architectural code.

• Participate in the Agile rituals (scrum, retrospective, panning, refinement) and have clarity of

the priorities of the team and be able to articulate any impediment or expectation to deliver the

code results.

• Contribute to the overall growth of the team in terms of quality of delivery, predictability and

time of execution.

• Support the update of the functional and technical documentation of the Matlab code and

coordinate with the team to include this into the overall Risk Vision documentation.

Requirements

As a Quantitative Risk Developer you will have the following skills/experience/qualifications

• Educated to degree level in econometrics, mathematics, economics or other relevant study.

• Extensive experience as a quantitative developer using Matlab.

• Expertise in interest rate curve modelling, inflation and the main risk related metrics like Value

at Risk, Tracking Error, Effective duration, implied spread, stressed testing using economic

scenarios. Knowledge of Solvency 2 is also advantageous.

• Proficiency of the different investment asset classes including derivatives like Interest Rate

Swaps, Crossed Currency Swaps, Callable Bonds, FX Forwards.

• Track record of system implementations within the Asset Management or Banking industry is a

pre-requisite.

• Well-developed written and verbal communication skills in English.

• You are a team player who likes to help and collaborate with colleagues.

• You have a problem solving mentality and eagerness to improve systems and processes.

• Experience with Agile for Enterprises is beneficial.

• Experience with databases, data modelling, data preparation and data quality control is

advantageous.

• Experience with Data visualization tools (Tableau, Qlik, Spotfire, Power-BI) is a plus.