Quantitative Developer

Purpose of Job

Quantitative Developer will be a core member of the quantitative development team. The individual will be responsible for the overall software infrastructure used by QRA and other risk teams. This includes necessary software upgrades to make sure the team is equipped with best-in-class and latest software components and setting up the software tools for the seamless use by fellow team members. Successful candidate will work on maintaining production codebases ensuring high performance and reliability and integrating languages and components with low friction into the toolchain. He will also be the key contact on any matters related to coding standards within the Team ensuring these standards are implemented and adhered to.

The individual will participate in the development maintenance and performance improvement of risk libraries software infrastructure using Python and C as the primary addition the incumbent will be involved in setting up version control software monitor the performance of the in-house developed code and help the team implement more robust automated testing and continuous integration processes.

As a good to have the incumbent will have a good overall understanding of identification measurement and modelling of credit and market risks. Familiarity with derivatives or financial products in addition is highly desirable. Quantitative Developer will from time-to-time be involved in different projects with a large development component such as designing aggregation measures and reports that will help the Management better understand the overall portfolio risks.

Background

Quantitative Risk Analytics (QRA) is a function within Risk Models Model Validation and Stress-Testing team of the Risk Management department. QRAs primary function is supporting the articulation of the Banks Risk Appetite and developing informative Risk Measures and Analytics. The quantitative function covers the following aspects:

• Credit Risk: Responsible for the identification measurement analysis and mitigation of the credit risks taken by the Treasury and Banking including exotic products and engages with them to provide advisory in the pre-trading structuring collateral mitigants and portfolio what-if analysis as well as exposure management within agreed limits.
• Economic Capital: Provides an internal estimate of overall Economic Capital consumption to facilitate capital allocation.
• Market Risk: Responsible for the identification measurement monitoring and mitigation of market risks in the Treasury and Banking operations.
• Liquidity Risk: Responsible for the measurement and monitoring of Liquidity Risk for the local currency desk.

Accountabilities & Responsibilities

Depending on the area of specialisation Quantitative Developer is responsible for all or most of the following:

• Designing and maintaining the software infrastructure of the team. Perform any necessary upgrades to ensure the Team has the best-in-class toolset to work with. This includes setting up the IDEs and installing any necessary packages and environments.
• Participate in the design and development of in-house developed software solutions. Assist in maintenance and performance improvement of the existing in-house risk library and overall Teams software infrastructure.
• Assert and maintain high coding standards across the Teams software ecosystem. Provide advice on these matters positively influencing the state of any in-house developed software solutions.
• Collaborate with IT teams to resolve any BAU issues the Team might be facing.
• Participate in forums related to any dependencies pertaining to IT matters with the potential to influence the Teams work.

Knowledge Skills Experience & Qualifications

• 3 years professional experience with modern Python or C.
• Proficiency in C: good knowledge of data structures algorithms and design patterns.
• Proficiency in Python: ability to prototype write scripts and do the data manipulation along with integration with C code.
• Experienced in setting up and maintaining development environments and toolchains for Python and C.
• Demonstrates solid knowledge of software engineering best practices encompassing version control with Git peer code review and systematic unit and integration testing.
• Good problem-solving debugging profiling skills.
• Familiarity with HTTP-based APIs and methods.
• Knowledge of quantitative finance risk modelling and derivatives is a plus. Familiarity with P&L explain is a good-to-have.
• Experience with DevOps practices including CI/CD and automation is advantageous.
• Knowledge of R and Julia is a good-to-have.
• Knowledge of setting up modern machine learning frameworks (e.g. PyTorch Google Colab) is considered an asset.
• Good communication skills ability to work crossfunctionally.
• MSc in Finance or Sciences.

What is it like to work at the EBRD

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation and use your talents to make a real difference to peoples lives and help shape the future of the regions we invest in.

The EBRD environment provides you with:

• Varied stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial political public and private sectors across the regions we invest in;
• A working culture that embraces inclusion and celebrates diversity;
• An environment that places sustainability equality and digital transformation at the heart of what we do.

Diversity is one of the Banks core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients brings pioneering ideas energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities cultures and opinions and we aim to sustain and build on this strength. As such the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial ethnic religious and cultural background gender sexual orientation or disabilities. As an inclusive employer we promote flexible working and expecting our employee to attend the office 50% of their working time.

Please note that due to the high volume of applications received we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).