Quantitative Risk Model Developer

1 tydzień temu

Kapelanka Kraków, Polska ITDS Pełny etat

Quantitative Risk Model Developer CCRXVA

Join us, and master cutting-edge financial risk models

Kraków - based opportunity with hybrid work model (4 days/month 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

We offer you:

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. The offer includes:

  • 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

Internal job number #6725

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