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Quantitative Developer FRTB

Harvey Nash AG


Quantitative Developer FRTB

For one of the leading wealth managers in Switzerland we are looking for a Quantitative Developer FRTB.

Role: Quantitative Developer FRTB

Location: Zurich

Duration: 12 months

Start date: ASAP

Overview of business area or project:
  • Role sits within the GTS Risk Platform, business architecture team, responsible for monitoring and driving Fundamental Review of the Trading Book (FRTB) delivery for GTS
  • Focus will be on the GTS FRTB dashboard, which is currently used by GTS and can be used by other business lines of the bank for monitoring and testing purposes
Key Responsibilities

The contractor will support with the development of new the slice and dice capabilities of the GTS FRTB dashboard. The dashboard capabilities can be applied to, and used by, other business lines of the bank. The contractor would develop non-GTS specific, business agnostic, features.

Tasks would include:

  • RDLs (FRTB inputs) delivery monitoring
  • RTPL & HPL extraction from strategic platform
  • PLA testing
  • VaR back testing
  • Capital figures extraction and analysis
  • RTPL vs HPL scatter plots and panel data generation for analysis
  • running the dashboard (uploading results)
  • extracting data from the dashboard
  • generating the desk status summary slides at bank level
Overview of the department / team (team size, backgrounds, personalities …):

Role is located within a Zurich-based team supporting the FRTB delivery of GTS. The team comprises a small number of specialists who work closely with Trading/Sales, CRO, Finance, Quantitative Analytics and IT teams.

Challenges Contractor will be facing in this role:
  • High degree of technical complexity associated with subject matter.
  • Putting together a sometimes-fragmented data landscape.
  • Developing reliable code under tight deadlines.
Essentials Skills and Qualifications:
  • 3-5 years of experience as Quant Developer
  • University degree with strong technical background (e.g., Engineering, Physics, Mathematics, Computer Science)
  • 2+ years of experience in Programming in Python is a must have
  • 2+ years of experience with data engineering and analysis is a must have
  • Highly focused and able to perform in-depth analysis, identify problems and propose meaningful solutions
  • Willing to go the extra mile, have a structured mindset and a strong sense of ownership
  • Passionate about financial markets, business transformation, technology and trading
  • Experience with financial products, financial modelling and risk management would be highly beneficial
Desired Skills and Qualifications:
  • Any experience working in Market Risk Change is desirable. Knowledge of regulatory topics, notably Basel 2.5 and FRTB, would be a benefit.
  • Additional education degree (e.g., PhD) is a plus
Candidate Value Proposition:

This is a high impact project, and we are on a driving seat of a very important deliverables, you will get exposure to many functions of the bank, Trading, CRO, Finance, Quantitative Analytics and IT teams. The tools and the analysis performed will drive the project.