Quant Developer - R Programmer - Amsterdam

Quantitative Developer - Quant Developer/Quant Analyst/R programmer/R Developer/S-Plus

My client is in the final stages of implementing in a production environment it economic capital model in order to comply with Solvency II using a partial internal model. The core modelling infrastructure consist of component written in R for pre- and post- processing, and a Java component for Monte Carlo simulation and applying risk mitigation. The entire solution is implemented on a cluster for scalable performance. One of the parts that needs (re)building is the delivery of data for the ORSA-process (Own Risk and Solvency Assessment).

Tasks:
* Implement data (pre-)processing for ORSA (Own Risk and Solvency Assessment) reporting in R.
* (Contribute to) Final testing in the form of aiding with test-cases and explaining the testers the functionality.
* Act as senior quantitative development expert for the team.
* Facilitate in handover of knowledge to quantitative developers of the Risk team

Key skills:
* Demonstrable experience developing quantitative code.
* Needs to have R (or S-plus) experience.
* Strong analytic skills (university level maths, physics, engineering, etc.). A PhD is a plus.
* Strong, proven, programming skills. (Java/C++/C experience ideal but not essential)
* Good understanding of statistics and probability theory.
* Experience with numerical programming and optimisation.
* Familiarity with regulatory requirements (Solvency II, Basel II/III) is a plus.
* Familiarity with Credit Portfolio models is a plus.
* Excellent understanding of databases, SQL.

Quantitative Developer - Quant Developer/Quant Analyst/R programmer/R Developer/S-Plus