Python Expert Model Developer
The team
We are an energetic international team of highly qualified professionals. Our area of expertise is Trading risk models, Valuation Risk, and Counterparty credit risk in the Trading book. We are part of the Integrated Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models
Roles and responsibilities
The team is responsible for designing the methodology of a wide range of models used in the Trading book. The design work relies heavily on the team benchmark libraries, which are used for analysis, exploration of alternative models and as implementation prototypes.
You will:
- Design, built and expand the team benchmark libraries and set best practices;
- Develop implementations for Trading Risk methodologies, such as Economic capital, Stress test, historical market data models and Risk factor scenarios specifications;
- Develop implementations for the calculation methodologies for valuation adjustment models e.g., for the concentration of positions;
How to succeed
We hire smart people like you for your potential. Our biggest expectation is that you’ll stay curious. Keep learning. Take on responsibility. In return, we’ll back you to develop into an even more awesome version of yourself.
You have:
- Solid experience in implementing models in Python and in building libraries; thus experience in Python development.
- A MSc in a quantitative field, e.g., mathematics, physics, software engineering etc.
- Familiarity with Market Risk models, data models and derivatives pricing and associated regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc).
- Strong communication skills and fluency in English.
- Constructive attitude and pro-active team player.
