Hello,
The company 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 (reinsurance).
We are looking for the right person to complement the development team. The
position is based in Amsterdam.
Tasks:
- Implement data (pre-)processing for ORSA reporting in R
- Contribute to final testing.
- Act as a quantitative development expert for the team.
- Facilitate in handover of knowledge to new quantitative
developers of the team.
Key skills:
- Minimum of 3 years experience developing quantitative code.
- Needs to have R experience.
- Strong analytic skills (university level maths, physics,
engineering, etc.). A PhD is a plus.
- 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.
- SQL experience
regards,
Konrad
For additional information contact:
Konrad Banachewicz, PhD
email: konrad.banachewicz at gmail.com
linkedin: nl.linkedin.com/pub/konrad-banachewicz/2/957/887/
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