Quantitative Developer

Job Posting Organization:
The European Bank for Reconstruction and Development (EBRD) is an international financial institution that was established in 199

• Its mission is to foster the transition towards open market-oriented economies and to promote private and entrepreneurial initiative in countries from Central Europe to Central Asia and the Southern and Eastern Mediterranean. The EBRD operates in over 30 countries and has a diverse workforce of approximately 2,000 employees. The organization is known for its commitment to sustainability, equality, and digital transformation, making it a unique workplace for professionals seeking to make a meaningful impact in the regions it serves.

Job Overview:
The role of the Quantitative Developer is crucial within the Risk Management division, specifically focusing on credit, liquidity, and market risk. This position requires a deep understanding of risk methodologies, development, implementation, and monitoring of financial instruments. The Quantitative Developer will be responsible for modeling and analyzing portfolio risk, maintaining risk measures, and providing analytical risk reporting. The role involves close collaboration with team members and other departments, delivering analytical, functional, and technical support to the Quantitative Risk Analytics (QRA) function. The position also entails guiding the Principal Risk Officer in operational and strategic decision-making, managing the testing and reporting environment, and ensuring alignment with the evolving business needs of the Bank. Additionally, the Quantitative Developer will participate in enhancing the in-house developed risk engine, QRE (Quantitative Risk Engine).

Duties and Responsibilities:
The Quantitative Developer will be responsible for a wide range of duties, including but not limited to: contributing to the presentation of RPA’s technical viewpoints on credit, liquidity, and market risk issues; participating in the development and enhancement of risk methodologies; performing tests for new pricers or model changes; quantitatively assessing model changes for financial instruments; documenting changes and providing evidence for model validation; supporting the setup and monitoring of Treasury Portfolio and risk limits; producing periodic risk management reports for the Board of Directors; selecting appropriate risk measures for reporting; collaborating with Treasury and Banking for simulations; designing specifications for business/risk management requirements; ensuring operational robustness of the risk management system; quantifying and analyzing credit risks; assessing Economic capital levels; identifying and reporting interest rate and foreign exchange risks; providing advisory for pre-trading structuring; performing regular operational processes related to market, liquidity, and credit risks; and participating in the implementation of the in-house analytical/pricing library.

Required Qualifications:
Candidates must possess significant relevant experience in the financial industry, ideally from an investment or commercial bank, private equity, asset management firm, or financial consulting firm. A strong background in quantitative finance or mathematics/sciences is essential, along with significant practical experience in implementing risk measurement methodologies. A good understanding of capital markets instruments across asset classes and knowledge of industry best practices and regulations in credit, liquidity, and market risk is required. Candidates should also demonstrate strong planning skills, the ability to communicate effectively at all levels, and a positive attitude towards problem-solving. Proficiency in at least one programming language, such as Python or C++, is mandatory, while knowledge of ActiveViam and databases like SQL is desirable.

Educational Background:
A Master’s degree in Quantitative Finance, Mathematics, or a related field is required for this position. This educational background should provide candidates with the necessary quantitative skills in financial modeling and statistics/econometrics, which are critical for the role of Quantitative Developer.

Experience:
Candidates should have significant experience in the financial industry, particularly in roles related to risk management, quantitative analysis, or financial modeling. Experience working in investment or commercial banks, private equity, or asset management firms is highly valued. The role requires familiarity with risk measurement methodologies and a solid understanding of capital markets instruments.

Languages:
Proficiency in English is mandatory for this position, as effective communication is essential. Additional languages may be considered an asset, particularly those relevant to the regions in which the EBRD operates, but are not explicitly required.

Additional Notes:
This position is a regular contract role with a contract length that is not specified. The EBRD promotes a flexible working environment, expecting employees to attend the office 50% of their working time. The organization values diversity and encourages applications from qualified candidates regardless of their background. Due to the high volume of applications, detailed feedback will not be provided to candidates who are not shortlisted.