Traded Risk Contractor CCRXVA

TRADED RISK CONTRACTOR CCRXVA 

Sector: Banking

Full time/B2B 

Kraków/Hybrid 

Join a global team at the forefront of financial risk modeling. We are looking for a skilled and driven TRADED RISK CONTRACTOR CCRXVA  o support the development and maintenance of models used for counterparty credit risk (CCR) and valuation adjustments (XVA). This is an exciting opportunity to work in a fast-paced, collaborative, and technically demanding environment.

Key Accountabilities:

• Development of Cross-asset library for calibration, simulation, pricing, aggregation and sensitivity computation

• Assess and validate performance of the models using real world data

• Support the ongoing maintenance of the CCR/XVA library

• Understand features, assumptions and limitations of the models, propose an enhancement approach, identify target market data

• Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models

• Coordinate projects aimed at aligning methodologies and governance

• Assist in the on-going application of the models in a business-as-usual risk management framework

Requirements:

• At least 4 years of experience in a quant role

• Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE

• Minimum Masters level in Math/Computer Science/Engineering discipline

• Excellent understanding of Stochastic Calculus applied to quantitative finance and knowledge of numerical optimisation technics and challenges

• Strong C++, Python and Linux skills. An expirence with: Apache Beam, GCP, MKL, Protobuf, CMake, Jenkins, Docker or similar is welcome.

• Open personality and effective communication skills, ability and flexibility to work in an international team

• Handling data analysis tasks under stressed timeline (hours)

• Well organized managing multiple tasks in parallel

Sprawdź inne ciekawe oferty pracy na: https://antal.pl/dla-kandydata