Risk Engine Engineer

Project 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.

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

Nice to have

• Experience with Monte Carlo simulation of long-time horizons

Other

• Languages: English: C1 Advanced
• Seniority: Senior

Luxoft Benefits*

Global Relocation

• ●Relocation options **
• ●Experience in an international environment
• ●Cross-cultural experience

Recognition and Evaluation

• ●Feedback culture
• ●Regular appraisals

Time Off***

• ●Annual holiday - 20 or 26 days. The duration of the leave depends on the overall seniority
• ●Occasional leave - 1 or 2 days/ depending on the circumstances
• ●Child care leave - 2 days or 16 hours per year
• ●Absence due to force majeure - 2 days or 16 hours per year
• ●Maternity Leave - 20 weeks
• ●Parental Leave - 41 weeks
• ●Paternity Leave - 14 days

Luxoft Training Center

• ●Expert-led tech courses covering basic to advanced topics
• ●Internal instructor-led soft skills courses
• ●Comprehensive in-house self-learning resources for both soft and hard skills
• ●Access to external self-learning libraries like ProQuest eBook and Udemy for Business
• ●Cloud Programs: MS Cloud Academy, AWS Partner Academy, Google Cloud Academy
• ●Custom Learning Programs: upskilling, reskilling, technical mentorship
• ●Leadership Programs for Managers

Well-being and Work-life Balance

• ●Multisport card
• ●Possibility to order Multisport card at the corporate rate for family members
• ●LuxGood Program: wellbeing seminars, contests, relaxation sessions, yoga sessions, etc.
• ●One Team Program: Buddy for each New Joiner; seminars, meeting and workplace space to support integration with local community and culture; “Hire me” workshops for partners
• ●Preferential banking offer
• ●Preferential car leasing offer
• ●Cafeteria program discounts for shops, cinema tickets, holiday offers
• ●Luxoft Social Benefit Fund: sport and recreation benefits, the possibility to receive financial support

Health Care

• ●Private Healthcare Insurance with unlimited access to specialists
• ●Full dental support
• ●Travel Insurance
• ●Possibility to add private healthcare coverage for family members at the corporate rate
• ●Life insurance at the corporate rate for employees and family members, including payment of the basic package for the employee by the employer
• ●Reimbursement for corrective glasses

Company Events and Friendly Environment

• ●Many fun social activities organized by the Luxoft team offline in your city
• ●Online entertainment events for whole company and local team events
• ●A workplace where you’re treated with respect within a multicultural team

Internal Mobility

• ●Rotation between projects and accounts
• ●New career opportunities

Self-Learning Library

CSR Projects

*The acquisition of rights to the above benefits depends on the form of cooperation. Benefits apply to those employed under a contract of employment.

**Please note that relocation is not available for all open positions. At Luxoft Poland it is possible to work remotely only from the territory of Poland.

***Options offered by the Polish government.