Quantitative Risk Model Developer CCRXVA
5 dni temu
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
- 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
- Experience in developing risk models for financial institutions
- Exposure to regulatory requirements for risk reporting
- Familiarity with enterprise-wide compliance frameworks
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