Python Counterparty Credit Risk Senior Developer - VP

ACE Quant Development Team is responsible for developing analytical models used for firm-wide derivatives credit risk and exposure calculations. Its primary focus is the development, testing, deployment, and maintenance of a production derivatives credit risk application used for internal risk management and regulatory capital purposes.

Description

The Counterparty Credit Risk Senior Application Developer will work closely with Quant and Front Office Technology teams to integrate pricing-model and workflow enhancements into the ACE application. The role provides exposure to distributed computing architecture and advanced technology paradigms, including grid computing.

Key responsibilities include optimizing execution run time, consolidating development across asset classes, and collaborating with Front Office Technology, Quant groups, and Risk Managers to integrate technology features and quant library updates.

Responsibilities

• Develop and maintain the ACE Python application and assist with its transition to cloud.
• Identify and develop calculation-performance optimizations.
• Integrate quant library and technology enhancements into the codebase with Front Office teams.
• Support build, testing, and release management for the credit risk application.
• Deliver regulatory and governance projects across asset classes.
• Provide regular development updates to stakeholders.
• Perform data analysis and produce regular reports.
• Take ownership of issues and proactively follow up through resolution.

Requirements

• Solid mathematical finance and statistical analysis skills.
• Knowledge of probability and stochastic calculus.
• Thorough, accurate approach to work and ability to operate within strict guidelines.
• Excellent verbal and written English.
• Ability to work effectively in a team and under pressure.
• Excellent Python programming skills.
• Experience developing software for Windows and Linux.
• UNIX shell scripting experience, including ksh and bash.
• Experience collaborating within large development teams.
• Proficiency with version-control tools such as Git and TortoiseSVN.
• Outstanding analytical and problem-solving skills.
• Master’s degree, or equivalent relevant experience, in computer science, mathematics, engineering, physics, or a related field; PhD preferred.

Preferred qualifications

• Familiarity with CI/CD pipeline technologies such as Jenkins.
• Familiarity with numerical analysis and Monte Carlo methods.
• Experience with regulatory projects, including Model Risk, Basel III, Stress Testing, FRTB, or CCAR.
• Track record developing and supporting analytics libraries for derivatives pricing and risk.
• In-depth knowledge of rates, credit, equities, or commodities derivatives.

Benefits

• Hybrid working model, currently with up to two work-from-home days per week.
• Competitive base salary, subject to final offer.
• Employer-paid defined contribution pension plan contribution of 6% of pensionable earnings.
• Employer-paid private medical care, life insurance, and employee assistance program.
• Paid parental leave, including statutory leave and two additional paid weeks of paternity leave.
• Subsidized sport card and access to additional social benefit fund support, including holiday allowance, sport and cultural activities, and team-building events.
• Additional day off for volunteering.
• Cafeteria/flexible benefits program.
• Opportunity to receive an annual discretionary incentive award.
• Employee special offers and discounts.

This job description provides a high-level review of the work performed. Other job-related duties may be assigned as required.