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Quantitative Risk Model Developer CCRXVA
  • Kraków
Quantitative Risk Model Developer CCRXVA
Kraków, Kraków, Lesser Poland Voivodeship, Polska
ITDS Polska Sp. z o.o.
24. 3. 2025
Informacje o stanowisku

Quantitative Risk Model Developer CCRXVA

Miejsce pracy: Kraków

Technologies we use

Expected

  • C++
  • Python
  • Apache Beam
  • Google Cloud Platform
  • MKL
  • Protobuf
  • CMake
  • Jenkins
  • Docker

Operating system

  • Linux

About the project

As a Quantitative Risk Model Developer CCRXVA, you will be working for our client, a global leader in financial services dedicated to developing state-of-the-art risk models for financial and operational risks. You will be part of a team focused on creating robust models for counterparty credit risk (CCR) and derivative valuation adjustments (XVA). The team spans multiple locations and collaborates closely with regional teams to enhance enterprise-wide compliance and improve risk reporting systems.

Kraków - based opportunity with hybrid work model (4 days/month in the office).

Your responsibilities

  • Developing cross-asset libraries for calibration, simulation, pricing, aggregation, and sensitivity computation
  • Assessing and validating model performance using real-world data
  • Supporting the ongoing maintenance of the CCR/XVA library
  • Understanding features, assumptions, and limitations of models to propose enhancements and identify target market data
  • Driving improvements to systems and data infrastructure supporting CCR and XVA model deployment
  • Coordinating projects aimed at aligning methodologies and governance
  • Assisting in the ongoing application of models in business-as-usual risk management frameworks

Our requirements

  • At least 4 years of experience in a quant role
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE
  • Minimum Master’s level in Math, Computer Science, or Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance
  • Strong knowledge of numerical optimization techniques and challenges
  • Proficiency in C++, Python, and Linux
  • Effective communication skills and ability to work in an international team
  • Experience handling data analysis tasks under strict timelines
  • Strong organizational skills managing multiple tasks in parallel
  • Familiarity with technologies like Apache Beam, GCP, MKL, Protobuf, CMake, Jenkins, Docker, or similar

Optional

  • Experience in developing risk models for financial institutions
  • Exposure to regulatory requirements for risk reporting
  • Familiarity with enterprise-wide compliance frameworks

This is how we organize our work

This is how we work

  • agile
  • scrum

What we offer

  • Stable and long-term cooperation with very good conditions
  • Enhance your skills and develop your expertise in the financial industry
  • Work on the most strategic projects available in the market
  • Define your career roadmap and develop yourself in the best and fastest possible way by delivering strategic projects for different clients of ITDS over several years
  • Participate in Social Events, training, and work in an international environment
  • Access to attractive Medical Package
  • Access to Multisport Program
  • Access to Pluralsight
  • Flexible hours & remote work

Benefits

  • sharing the costs of sports activities
  • private medical care
  • flexible working time
  • fruits
  • integration events
  • corporate gym
  • mobile phone available for private use
  • computer available for private use
  • saving & investment scheme
  • no dress code
  • coffee / tea
  • drinks
  • christmas gifts
  • birthday celebration
  • sharing the costs of a streaming platform subscription
  • access to +100 projects
  • access to Pluralsight

Recruitment stages

  • first online interview
  • second online interview

#GETREADY to meet with us!

ITDS Business Consultants is involved in many various, innovative and professional IT projects for international companies in the financial industry in Europe. We offer an environment for professional, ambitious, and driven people.

We would like to meet you. If you are interested please apply and attach your CV in English or Polish, including a statement that you agree to our processing and storing of your personal data.

ITDS’s Whistleblower Procedure

You can report violations in accordance with ITDS’s Whistleblower Procedure available here: https://itds.pl/wp-content/uploads/2025/03/INFORMATION-ON-PROCEDURE-FOR-REPORTING-BREACHES-AND-PROTECTION-OF-WHISTLEBLOWERS-AT-ITDS-POLSKA.pdf

ITDS Polska Sp. z o.o.

ITDS supports financial service providers to take the next steps.

We identify what’s possible, every day. Opportunities in the areas of technology, organization, and digitization.

We see where banks, insurers, payment companies, or fintech can go and how they can get there.

That’s why we want to stimulate you to ramp up your ambition. Forget what you perceive as restraints and step towards the new reality.

ITDS in Poland - Pure player in new Technologies & Financial Industry

+300 IT implementation professionals

+20 clients in the Banking, Insurance, Payment & Fintech Industry

ITDS excels in digital strategy delivery and implementation of best-of-breed lending solutions. ITDS has delivered successful strategic projects throughout Europe since 1998. We combine the experience we’ve accumulated with in-depth knowledge of technologies, business processes, and EU legislation to unlock new business opportunities.

Informujemy, że administratorem danych jest ITDS z siedzibą w Warszawie, ul. Złota 59 (dalej jako "administrator"). Masz prawo do żądania dostępu do swoich danych osobowych, ich sprostowania, usunięcia lub ograniczenia przetwarzania, prawo do wniesienia sprzeciwu wobec przetwarzania, a także prawo do przenoszenia danych oraz wniesienia skargi do organu nadzorczego. Dane osobowe przetwarzane będą w celu realizacji procesu rekrutacji. Podanie danych w zakresie wynikającym z ustawy z dnia 26 czerwca 1974 r. Kodeks pracy jest obowiązkowe. W pozostałym zakresie podanie danych jest dobrowolne. Odmowa podania danych obowiązkowych może skutkować brakiem możliwości przeprowadzenia procesu rekrutacji. Administrator przetwarza dane obowiązkowe na podstawie ciążącego na nim obowiązku prawnego, zaś w zakresie danych dodatkowych podstawą przetwarzania jest zgoda. Dane osobowe będą przetwarzane do czasu zakończenia postępowania rekrutacyjnego i przez okres możliwości dochodzenia ewentualnych roszczeń, a w przypadku wyrażenia zgody na udział w przyszłych postępowaniach rekrutacyjnych - do czasu wycofania tej zgody. Zgoda na przetwarzanie danych osobowych może zostać wycofana w dowolnym momencie. Odbiorcą danych jest serwis Hello HR oraz inne podmioty, którym powierzyliśmy przetwarzanie danych w związku z rekrutacją.
Naruszenia można zgłaszać zgodnie z Procedurą zgłaszania nieprawidłowości ITDS dostępną tutaj:https://itds.pl/wp-content/uploads/2025/03/INFORMATION-ON-PROCEDURE-FOR-REPORTING-BREACHES-AND-PROTECTION-OF-WHISTLEBLOWERS-AT-ITDS-POLSKA.pdf

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  • Model Kraków
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