Risk Engine Engineer

12 Minutes ago • 10 Years +

Risk Management

Job Description

The Risk Engine Engineer role is in the counterparty credit risk (CCR) modelling and analytics team within R&C model development group. The candidate is joining our global team for the counterparty credit risk modelling covering all assets classes, and in particular, for FX and interest rate derivatives. Upon joining the team, the candidate is expected to be immediately working on the long-term strategic counterparty credit risk model replacement project (and subsequently any downstream models affected), responsible for all aspects of model implementation, model testing and reconciliation, design of ongoing performance monitoring plan, and documentation of the model submission package for model risk team's review.

Good To Have:

Experience with Monte Carlo simulation of long-time horizons
Big data and reporting

Must Have:

10+ years experiences in market risk, or/and counterparty credit risk, and/or front office risk
strong hands-on coding experiences in Java and Python
expert in risk system architecture and design, with specialties in one/several of the following areas: Core risk engine build out, Risk system migration, Quant lib integration and optimizations, Elastic compute, Distributed caching
Proved track record of working with remote teams effectively and delivering, in one/more of the following types of programs: PFE (Potential Future Exposure) and/or VaR and/or front office risk systems re-write and migration, Large risk program deliveries, including reg programs
Good communication skills
Pay attention to details

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Project description

Responsibilities

Upon joining the team, the candidate is expected to be immediately working on the long-term strategic counterparty credit risk model replacement project (and subsequently any downstream models affected), responsible for all aspects of model implementation, model testing and reconciliation, design of ongoing performance monitoring plan, and documentation of the model submission package for model risk team's review.

Skills

Must have

10+ years experiences in market risk, or/and counterparty credit risk, and/or front office risk
strong hands-on coding experiences in Java and Python
expert in risk system architecture and design, with specialties in one/several of the following areas:
Core risk engine build out is the most critical and desirable.
Risk system migration.
Quant lib integration and optimizations
Elastic compute
Distributed caching
Big data and reporting will be good to have.
Proved track record of working with remote teams effectively and delivering, in one/more of the following types of programs:
PFE (Potential Future Exposure) and/or VaR and/or front office risk systems re-write and migration.
Large risk program deliveries, including reg programs
Good communication skills
Pay attention to details