Quant Developer (Ref.: MM/0118)

C# - Quantitative Analytics
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?

As a Quant Developer, you will join FRTB Risk Methodology team within Quantitative Analytics to assist in the development of a C# based generic risk engine to be used for risk calculations. You will work on implementation of model aligned with upcoming Fundamental Review of Trading Book (FRTB) regulations.

The Risk Methodology team reports to the Chief Risk Officer within Strategic Risk Management and is responsible for:

(1) creating models which capture market risk;

(2) making sure those models adhere to regulatory guidelines;

(3) implementing market risk models in IT systems;

(4) describing and documenting models for regulators;

(5) establishing policies and processes covering market risk.

Main responsibilities
Designing and developing a risk calculations framework including calculation modules;
Reviewing alternative implementations and suggesting/implementing improvements;
Working with Risk IT to ensure quant code is seamlessly integrated within the banks’s IT systems;
Managing model release processes including integration, regression testing, user acceptance testing;
Coding C# quantitative libraries.

Profile and skills
You have advanced C# .NET skills;
You have experience with development tools like SVN, JIRA, TeamCity, Confluence;
You have experience in coding numerical methods and algorithms;
You have strong mathematical skills as well as excellent analytical, problem solving, and troubleshooting skills;
You are a team player and your communication skills are on the high level;
You speak English very well.

Java development skills and experience with Microsoft Excel/VBA, LINQ, XML, Visual Studio;
Basic Quantitative Risk knowledge;
Willingness to question and challenge the way things are done and to come up with alternative approaches.

What you will love about Margo
Ability to work in international consulting company, a leader in its industry in France;
Ambitious projects in the financial sector;
Permanent contract or B2B cooperation;
Benefits such as medical care and sports card;
Opportunities for development (planning career paths, trainings, opportunities to switch between projects, including changes of position, opportunities to engage in additional activities);
Very good atmosphere of work, integration events.


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