Luxoft company
Would You like to become a part of Luxoft Team? If yes, this opportunity might be for You!
What do we offer our Employees?
Online recruitment process and onboarding trainings
LuxMed health & dental care, life insurance
MyBenefit program (sports card, well-being program etc.)
Relocation support with Family coverage
Equipment such as a laptop and monitor
Corrective Glasses reimbursement
Special offer of Banking Services
Preferential Car Leasing offer
Paid Referrals
LuxTalent platform (webinars, training, courses with certificates)
@gsikora
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.
Mandatory Skills Description:
- 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:
o Core risk engine build out is the most critical and desirable.
o Risk system migration.
o Quant lib integration and optimizations
o Elastic compute
o Distributed caching
o 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:
o PFE (Potential Future Exposure) and/or VaR and/or front office risk systems re-write and migration.
o Large risk program deliveries, including reg programs
- Good communication skills
- Pay attention to details
Nice-to-Have Skills:
Experience with Monte Carlo simulation of long-time horizons
Languages:
English: C1 Advanced
