Project Description
We invite passionate engineers to join our Market Risk Technology Team. Our mission is to build a robust middle-office Market Risk platform to calculate Internal Stress Testing, Federal Stress Testing Scenarios, Value at Risk (VaR), and Risk Theoretical Profit and Loss (RTPL).
The platform we are developing is not directly for traders but primarily serves risk managers, financial controllers, and regulatory bodies. Its primary function is to provide accurate, timely, and reliable risk measurements and evaluations.
Responsibilities
- Risk Calculation Development: Design, develop, and implement new risk calculation methods using Python. Apply your quantitative skills to model complex financial instruments and risk scenarios.
- System Enhancement: Enhance the existing risk system by identifying areas of improvement and introducing innovative solutions. Your mathematical and programming skills will be crucial in developing more efficient and effective ways to calculate and present risk.
- Collaboration: Work closely with risk managers, financial controllers, and other stakeholders to understand their needs and incorporate their input into the risk system. This will involve translating complex financial concepts and requirements into effective software solutions.
- Testing and Validation: Conduct thorough testing and validation of the risk calculation methods to ensure accuracy. This will involve creating tests, running simulations, and analyzing the results to validate the calculations.
Skills
Must have
- Extensive experience with Python programming (5+ years), including a strong understanding of data structures, algorithms, and software design principles.
- Mathematical Aptitude: Strong mathematical background, preferably with a focus in quantitative finance, statistics, or a related field. Ability to model and solve complex mathematical problems related to financial risk.
- Financial Knowledge: Understanding of financial concepts and risk management principles. Knowledge of "Greeks", VaR, Derivative products
- Problem-Solving Skills: Strong analytical and problem-solving skills, with an ability to think creatively to develop solutions to complex problems.
Nice to have
- Investment Bank experience
- PySpark
- Java
Languages
English: B2 Upper Intermediate
Seniority
Senior
Relocation package
If needed, we can help you with relocation process.
Vacancy Specialization
Python
Ref Number
VR-97429
