VP - Senior Risk Developer - Quant Analytics

Job Description

Job Description What is the opportunity? You will develop and maintain C libraries, which form part of a market risk management system (the “Risk Modernization” or “Risk Mod” program). Risk Mod provides a uniform risk interface across diverse trading desks, and in particular, allows the bank’s Group Risk function to define and execute standardised risk measures across those trading desks. Your focus will be the libraries that i) generate instructions for market data shocks/pricing and, ii) calculate risk measures from the scenario outputs, and maintaining the DevOps engineering infrastructure used to build the libraries. With an understanding of the full Risk Mod pipeline and the role of the Expansion and Recomposition components within it, you will maintain and extend the functionality of these libraries. You will also administer and maintain the technological infrastructure used to build and publish the libraries and respond to ongoing DevOps requirements. This position is full time and will require you to work a minimum of 4 days in the office per week with the option to work one day from home. What will you do? Develop an understanding of the Risk Mod system as a whole, and the role of the libraries within that system. Maintain the CI infrastructure used to build and publish the libraries. Respond to ongoing DevOps updates and requirements. Develop new features and functionality in C within the libraries, maintain existing functionality, and diagnose and resolve problems arising within the system. Develop tests, and understand the critical importance of maintaining correctness and backward compatibility when modifying the library. Develop an understanding of the risk measures calculated within Risk Mod, which may include Greeks/sensitivities, market data scenarios such as ladders and grids, and ad hoc/full reveal scenarios for different businesses. Develop tools to assist in the execution and analysis of risk measures, and to simulate the Risk Mod pipeline as a whole. Explain library functionality to both technical and non-technical colleagues. Document functionality and working practices; make functionality and processes transparent to others. Liaise with direct colleagues and with other teams including development teams, project managers, risk system users and DevOps/Change Management teams. Embrace new development and productivity practices and initiatives (eg CoPilot) both in development/testing and in other areas (eg documentation). What do you need to succeed? Must-have Ability to analyze complex data, documents and workflows, understand risk requirements, and interpret results. Strong awareness of and interest in diverse software technologies, and in DevOps and software engineering. Must be comfortable with both Windows and Linux, willing to learn RBC technology infrastructure and manage and take ownership of ongoing DevOps administration, tasks and new requirements. Knowledge of financial instruments (primarily derivatives products),

Required Skills