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.