Senior Quantitative Developer / Counterparty Credit Risk Specialist (m/w/d)
Core
Design, develop, and enhance Counterparty Credit Risk (CCR) and XVA models for Potential Future Exposure (PFE) and Exposure at Default (EAD) calculations within a Front Office Quant team.
Role type
Senior Quantitative Developer (Counterparty Credit Risk)
Builds
In-house pricing and risk models, high-performance computing platforms for risk management
Domain
Financial Services / Quantitative Risk Modeling
Deliverable
production ML models | product features
Required skills
Counterparty Credit Risk modeling, Monte Carlo simulation, derivatives pricing, risk factor modeling, Python, C++, software engineering best practices (TDD, CI/CD)
Preferred skills
Azure, Git, Docker, experience in Interest Rates, FX, Credit, Commodities, Equity, or XVA asset classes
Technologies
C++, CUDA, Python, Azure, Git, Docker
Responsibilities
Design and develop CCR models for PFE and EAD calculations; Implement and maintain pricing and risk models throughout their lifecycle; Contribute to the development and optimization of a high-performance C++/CUDA computing platform; Collaborate with Front Office model integration teams to deploy quantitative models into production; Provide quantitative support and expertise to Front Office stakeholders
Seniority
Senior, hands-on IC