Risk Engine Engineer (Arcadia exp)

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.

Skills

Must have

Minimum degree of Master or PhD in quantitative fields is required, with at least 3-5 years of relevant experience.

Must have hands-on experience with Arcadia

The candidate must have strong quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills.

Must have experience implementing complex market or credit risk quantitative modelling for OTC derivatives using programming languages (such as Python and C++) as well as mathematical / statistical software packages.

Knowledge of derivatives pricing models (Black Scholes, Hull White), Monte Carlo simulation, and risk model back testing experience is also a must.

Nice to have

The candidate is preferred (a plus) to have experience in credit risk modelling and is familiar with credit risk concepts such as PFE (Potential Future Exposure), CSA, MPOR, collaterals IM and VM, and Monte Carlo simulation of long-time horizons.

Languages

English : C1 Advanced

Seniority

Senior