Quant Developer (Senior C# Developer) (KJ/0220)

Algorithms - C# - Financial Models - Market Risk
Warsaw, Permanent or B2B contract

Are you creative and passionate about programming? The terms of calculation models, numerical methods and algorithms are familiar to you? You want to direct yourself to technical expertise working in ambitious and stimulating projects? Join Margo!

Role overview:
As a Quant Developer, you will develop on Bank strategic platforms the code implementation of Financial Models calculating obligatory capital charge. Platforms with generic capabilities (e.g. data sourcing, calculations parallelization, error reporting, front end) are delivered by IT teams. Models (i.e. algorithms, mathematical equations, prototype code) are delivered by Financial Analysts. You will collaborate very closely with both sides, understanding their needs and constraints, finally establishing automatically built and tested Models with a strong focus on architecture and maintainability.

The team works currently on FRTB DRC calculations – Basel IV driven risk models – but more Credit Models will be covered in future.

You will work mainly on C#4.0 based platform, supporting others (e.g. based on C++17, R, Python). ~70% of the time takes features and automated tests development, while rest is used for their consulting, analysis and DevOps tasks. You will be part of open and honest environment with mutual support, sharing knowledge & skills. The team values the team spirit, respecting in the same time individuals and their needs (e.g. flexible work time/partial remote work). Make-things-done attitude, software engineering excellence and domain knowledge are highly appreciated. Green-field environment on bank cutting-edge platforms enables the team to experiment with their way of collaboration.

Being part of a team:

  • You will be smoothly taken on top of technical and methodologic projects aspects.

  • Your first tasks will be focused on methodology implementation improvements & adjustments with providing full testability under senior team-member guidance.

  • Having acquired more expertise, you will do in-deep analysis of delivered data model, data availability and their fit into Model, yet being continuously engaged in direct development works.

  • You will be constantly expected to be focused on maintainability, efficiency and architecture of the code.

  • In the future you will have an opportunity to cover other platforms, models and get more into modelling itself.

  • You will be listened, involved in discussions and brainstorms and asked to share experience and knowledge.

The position is ideal for you if:

  • You have deep knowledge of C# and openness for learning other languages (including R, Python, etc.)

  • You know what TDD, CI and Design Patterns are, you have Clean Code approach as well as awareness of Big O, architecture and DevOps

  • You communicate & work well in a quickly changing, multi-team, international environment

  • You are independent, willing to challenge the status quo, but collaborative in your working style

  • You are interested in financial, quantitative and statistical knowledge and would like to develop in such an environment

  • You speak English very well.

Joining this particular project you can expect:

  • International work environment (cooperation with the teams in UK and USA)

  • Very agile project

  • TDD, continuous integration, continuous development

  • No legacy code

  • 70% of work time spend on writing features and tests automation, 30% on data analysis

  • Great atmosphere in the team

  • Flexible working time with possibility of remote work for 1-2 days in a week

Joining Margo you can expect:

  • Ability to work in international consulting company in ambitious projects

  • Permanent contract or B2B cooperation

  • Benefits such as medical care and sports card

  • Co-financing of trainings, certification exams and post-graduate studies

  • Internal training and the possibility of using our know-how

  • Possibility to use our library free of charge

  • Individual approach and development opportunities (career path planning, ability to change the project and position, possibility to get involved in outside-project activities with additional remuneration)

  • Possibility to influence the shape of the company, openness to your ideas and willingness to implement them

  • Very good working atmosphere, integration events


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