Software Engineer

Recruiter
RBS
Location
United Kingdom
Posted
11 Nov 2017
Closes
17 Nov 2017
Contract Type
Permanent
Hours
Full Time
The Requirements Join us as Software Engineerin London in NatWest Markets You'll be joining Front Office analytics within Shared Analytics You'll be working on advanced models to derive future markets primary module, and will be responsible for implementation and testing of modules in this C++ based workWhat you'll doYou'll undertake development and delivery of a robust strategic solution allowing RWA calculations for all products. This is aligned with RBS business and technology strategy of having price and risk in one place.Our teams purpose is to provide simplicity and automation resulting in cheaper cost and higher level of control of numbers of produced. The SAF EPE team also owns and supports legacy java analytics module providing estimation, simulation and pricing for the existing CCR system.In the role you will: Undertake the development of estimation models and simulation models (rates, inflation, equity, credit, FX) in shared analytics framework, occasional redesign of the existing pricing models (rates, credit) Define, prototype and deliver of interfaces (proxies) used by technology systems Actively contribute to the team on design, architecture choices, performance optimisations Undertake full participation in all stages of the project: design, prototype, development, unit testing, integration testing, UAT, delivery to production, post go-live enquiries Diagnose and debug issues raised in UAT and production environments Undertake integration of Shared Anaytics Framework Expected Positive Exposure module with other parts of Shared Analytics Framework working in partnership with the rest of quant group as well as Couterparty Credit Rrisk technology team Undertake prompt response to our internal clients, timely delivery of assigned work items, providing high quality and fully tested codeThe skills you'll needYou'll need the following experience: Experience of the development and testing of stochastic simulation models (on historical measure) for a counterparty credit risk system in C++ and C# Integration and testing of pricing models (rates, credit, FX) Fluent in C++ performance optimisation and algorithms The ability to engage in the full lifecycle of a project including coding models, systems testing, integration with IT systems, liaising with other groups and users on model queries and issuesIt would be an advantage to have: A solid understanding of Basel III modelling principles and requirements Excellent mathematical skills Solid financial and quantitative experience of either flow rates or credit The ability to directly communicate with others from quant group or developers from technology group during bug or problem resolutionHow we'll reward youIn return, we offer a competitive salary plus 25% cash and benefit funding programme that can be tailored to suit your individual needs. In addition, we provide a wide selection of exclusive lifestyle offers, development and learning programmes, services and support designed to help you manage and balance your work/life priorities.Visit our reward and benefits page for more information on the benefit packages we offer.InclusionAt RBS, we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, well do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles - find out more.As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, youll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks. - provided by Dice C#, C++, CREDIT RISK, JAVA