Eagle is currently seeking four (4) Model Developer for a six (6) month contract position, scheduled to begin immediately.
The successful candidates will be responsible for:
- Analysis and translation of FRTB requirements/equations/mappings into near-production ready model design and code;
- Development and testing of FRTB SA Models (SBM, DRC, RRAO);
- Development and testing of FRTB IMA Models (IMCC, Back testing, DRC, NMRF, PLA);
- Assisting and supporting NMRF analysis and solution design including deciding how to classify risk factors as modellable/non-modellable;
- Coding in C# for impact analysis for different universe of FRTB Risk Factors (RF);
- Coding in C# for bucketing analysis for modellable RF and impact on P&L attribution test, ES capital, and NMRF;
- Coding in C# for NRMF & IMA capital analysis considering the above;
- Interfacing with Upstream and Downstream team leads to ensure smooth data transitions and define comprehensive unit test coverage; and,
- Collaborating with Market Risk, Market Risk Infrastructure and Capital Markets Technology teams to establish best practices, identify optimal technical solutions.
Skills and Qualifications
The successful candidates must have:
- PhD or Master/Bachelor’s degree in computer science, applied math, data science or related technical degree;
- Basel Regulations (Basel III, FRTB) experience;
- Strong knowledge and experience in C#;
- Knowledge of MFL is desirable;
- Valuation and Risk Management exposure;
- Service Oriented API development experience;
- 5+ years of work experience in large teams, in financial services industry, particularly performing model design and development;
- Strong SQL and exceptional MS Excel skills;
- Hands on experience with testing / mocking framework; and,
- Good communication skills, with the ability to ask questions and is also self-motivated, focused, and is continually setting goals.
Don't miss out on this opportunity, apply online today!
Eagle is an equal opportunity employer and will provide accommodations during the recruitment process upon request. We thank all applicants for their interest; however, only candidates under consideration will be contacted. Please note that your application does not signify the beginning of employment with Eagle and that employment with Eagle will only commence when placed on an assignment as a temporary employee of Eagle.