Quantitative Risk Model Developer CCRXVA

5 dni temu


Kraków, Lesser Poland ITDS Business Consultants Pełny etat
Join us, and master cutting-edge financial risk models

Kraków – based opportunity with hybrid work model (1 day/week in the office).

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.

Your main 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
You're ideal for this role if you have:
  • 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
It is a strong plus if you have:
  • Experience in developing risk models for financial institutions
  • Exposure to regulatory requirements for risk reporting
  • Familiarity with enterprise-wide compliance frameworks

#GETREADY to meet with us

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.

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