Quantitative Risk Model Developer

1 tydzień temu


Kraków, Lesser Poland ITDS Pełny etat

The role of a Quantitative Risk Model Developer at ITDS is to develop and maintain cutting-edge risk models for financial institutions.

Job Description

As a Quantitative Risk Model Developer, you will be working on creating robust models for counterparty credit risk (CCR) and derivative valuation adjustments (XVA). You will be part of a team that spans multiple locations and collaborates closely with regional teams to enhance enterprise-wide compliance and improve risk reporting systems.

You will be responsible for assessing and validating model performance using real-world data, supporting the ongoing maintenance of the CCR/XVA library, and understanding features, assumptions, and limitations of models to propose enhancements and identify target market data.

You will also drive improvements to systems and data infrastructure supporting CCR and XVA model deployment, coordinate projects aimed at aligning methodologies and governance, and assist in the ongoing application of models in business-as-usual risk management frameworks.

Required Skills and Qualifications
  • C++, Python, Linux
  • Strong knowledge of numerical optimization techniques and challenges
  • Excellent understanding of Stochastic Calculus applied to quantitative finance
  • Effective communication skills and ability to work in an international team
  • Data analysis experience
Benefits
  • Access to over 100 projects
  • Private healthcare
  • Multisport card
  • Access to Pluralsight


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