Quantitative Developer

Client description: Montrose Software has an ongoing relationship with one of the largest North American banks to enhance and maintain its production libraries and applications. The bank serves 17 million clients worldwide and provides personal and commercial banking, wealth management, insurance, investor services, and capital markets products and services globally. We work mainly with their capital markets teams, focusing on derivatives and fixed income systems. Project description: We work on maintaining and enhancing a Risk management system for a big bank. The system is a core internal instrument for the data analyst and economist to make risk calculations. It is split into 3 layers: - Front end - Microsoft Excel with a fully custom set of function and menus; standalone Python app - Business Logic Library - C++ and Python modules on the network - Calculation grid - 50k computing grid running the simulations in house, AWS and Azure