The Risk Engine Engineer role is in the counterparty credit risk (CCR) modelling and analytics team within R&C model development group. The candidate is joining our global team for the counterparty credit risk modelling covering all assets classes, and in particular, for FX and interest rate derivatives.

Responsibilities

Upon joining the team, the candidate is expected to be immediately working on the long‑term strategic counterparty credit risk model replacement project (and subsequently any downstream models affected), responsible for all aspects of model implementation, model testing and reconciliation, design of ongoing performance monitoring plan, and documentation of the model submission package for model risk teams review.

Must have

• 10+ years experience in market risk, or/and counterparty credit risk, and/or front office risk
• Strong hands‑on coding experience in Java and Python
• Expert in risk system architecture and design, with specialties in one/several of the following areas: Core risk engine build out is the most critical and desirable.
• QuantLib integration and optimizations
• Elastic compute
• Distributed caching
• Big data and reporting will be good to have.
• Proved track record of working with remote teams effectively and delivering, in one/more of the following types of programs: PFE (Potential Future Exposure) and/or VaR and/or front office risk systems re‑write and migration.
• Pay attention to details

Nice to have

• Experience with Monte Carlo simulation of long‑time horizons

Seniority level

Mid‑Senior level

Employment type

Full‑time

Job function

Information Technology

Industries

IT Services and IT Consulting