Python Counterparty Credit Risk Senior Application Developer (VP)

Quick Facts

• Role: Counterparty Credit Risk Senior Application Developer (VP)

• Focus: ACE production derivatives credit risk application for risk management and regulatory capital

• Collaboration: Quant and Front Office technology teams

Description

You will develop, test, deploy, and maintain the ACE Python application used for internal derivatives counterparty credit risk management and regulatory capital. The role partners closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements, optimize execution runtime, and consolidate development across asset classes. You will also support build, testing, and release management, with exposure to distributed/grid computing and a potential transition to cloud.

Responsibilities

• Develop and maintain the ACE Python application; assist with transition to cloud

• Identify and implement calculation optimization improvements

• Integrate quant library/technology enhancements with Front Office teams

• Support build, testing, and release management of the credit risk application

• Work on regulatory and governance projects across a range of asset classes

• Provide regular development updates to stakeholders

• Perform data analysis and produce recurring reports

• Take ownership and proactively follow up on issues

Requirements

• Solid mathematical finance and statistical analysis skills

• Knowledge of probability and stochastic calculus

• Thorough, detail-oriented approach to accuracy

• Ability to follow procedures and operate within strict guidelines

• Excellent verbal and written English

• Ability to work well in a team and under pressure

Hard Skills & Technologies

• Python

• Windows

• Linux

• UNIX Shell scripting (ksh, bash)

• Version control (Git, TortoiseSVN)

• CI/CD pipelines (Jenkins preferred)

Benefits

• Hybrid working model (up to 2 days working from home per week)

• Employer-paid defined contribution pension contribution of 6%

• Employer-paid private medical care package for employees (and discounted family coverage)

• Employer-paid life insurance program for employees (and discounted family coverage)

• Employee Assistance Program financed by the employer

• Paid parental leave (maternity and paternity; statutory plus 2 additional paid paternity weeks)

• Subsidized sport card benefits for employees (and discounted family coverage)

• Additional day off for volunteering

• Cafeteria/flex benefits platform for selecting and purchasing benefits

• Opportunity for an annual discretionary incentive award (subject to final offer)

• Employee discounts and special offers