Quantitative Risk Developer – Derivatives Portfolio risk

Talensa are partnered with a fast growing and innovative International Financial Services Markets Infrastructure and Consulting firm.

Permanent, Associate Director Level. London, UK.

This is a great and versatile role, looking for a Quantitative Developer to join the team responsible for maintaining and enhancing Derivatives risk – Initial Margin Model (IMM) and related analytics infrastructure. This role combines quantitative expertise with strong programming skills to deliver robust, efficient, and scalable solutions for margin calculation and risk analytics.

Key Responsibilities

• Develop and maintain quantitative libraries for risk calculations, including risk weights, correlations, and historical volatility ratios.
• Implement and optimize IMM methodology within proprietary and vendor platforms.
• Collect, validate, and aggregate market and risk data from multiple sources.
• Develop and maintain backtesting, ben...