Quantitative Developer Analyst (Solvency/R/Java/ORSA)

Our client are in the final stages of implementing in a production environment it economic capital model in order to comply with Solvency II.

They are 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 (reinsurance). 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.

Tasks:

* Implement data (pre-)processing for ORSA 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 (yet to be recruited).

Key skills:

* Minimum of 5 years experience developing quantitative code.
* Needs to have R (or S-plus) experience.
* Strong analytic skills (university level maths, physics, engineering, etc.).
* Strong, proven, programming skills.
* 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.

Interview and start ASAP in January 2014.

CPS Group (UK) Ltd is acting as an Employment Business in relation to this vacancy.