Quantitative Developer
Numerical Technologies LTD is a provider of custom software solutions and services specializing in risk, limits, and regulatory capital. We are currently looking for a Quantitative Developer to join our team.
Project: Development of quantitative risk analytics for a global financial institution, focused on HPL/RTPL analysis and P&L Attribution under FRTB.
What you will be doing:
As part of the team, you will work closely with quantitative analysts to investigate differences between Hypothetical P&L (HPL) and Risk-Theoretical P&L (RTPL). You will reproduce calculations, identify discrepancies related to risk factors, model differences, market data timing, and revaluation methodology, and implement fixes in pricing and risk libraries. You will develop Python-based tools for attribution analysis and reconciliation, as well as extend and debug Python and C++ quantitative libraries used for P&L and sensitivity calculations. Your work will directly support P&L Attribution (PLA) testing and internal model performance under FRTB.
What we are looking for:
- 5+ years of professional software or quantitative development experience.
- Strong Python development skills, including hands-on experience with NumPy and pandas.
- Working proficiency in C++, with the ability to read, debug, and extend quantitative codebases.
- Solid understanding of derivatives pricing, including discounting, curve construction, volatility surfaces, and Greeks/sensitivities.
- Experience with at least one asset class, such as rates, credit, FX, or equities.
- Strong data analysis skills and experience reconciling large datasets, including positions, market data, and sensitivities.
- Strong analytical and problem-solving skills, with the ability to investigate complex discrepancies and identify root causes.
- Upper-Intermediate level of English or above.
Bachelor’s degree or higher.
What will be a plus:
- Understanding of P&L attribution concepts or exposure to HPL/RTPL analysis.
- Knowledge of FRTB or other Market Risk frameworks.
- Experience with risk or trading platforms.
What we offer:
- Competitive compensation depending on experience and skills.
- Regular performance assessments and salary reviews.
- Paid personal days.
- Mental health support program.
- Language classes.
- Flexible working schedule.