Python Counterparty Credit Risk Senior Developer - VP
Core
Develop, test, deploy, and maintain the ACE Python application for firm-wide derivatives credit risk and exposure calculations used for internal risk management and regulatory capital purposes.
Role type
Senior IC Python developer (credit risk)
Builds
Production derivatives credit risk application
Domain
Financial services / Credit risk technology
Deliverable
production ML models
Required skills
Python, mathematical finance, stochastic calculus, UNIX shell scripting, Git, CI/CD pipelines
Preferred skills
Numerical analysis, Monte-Carlo methods, regulatory project experience (Basel III, FRTB, CCAR), derivatives pricing libraries
Technologies
Python, Jenkins, Git, TortoiseSVN, Linux, Windows
Responsibilities
Develop and maintain the ACE Python application, identify and implement calculation optimizations, integrate quant library enhancements, support build/testing/release management, perform data analysis and reporting
Seniority
Senior, hands-on IC