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
- New platform integration into existing risk and pricing systems.
- Develop APIs and adapters for internal applications and data flows.
- Implement and optimize risk calculations.
- Ensure scalability and performance for large portfolios.
- Build automated testing frameworks for model validation.
- Collaborate with quantitative analysts and risk managers to align requirements.
Mandatory skills
- Strong C++ expertise (C++11/14/17 or later), STL, Boost.
- Strong expertise with Linux and Bash Shell.
- Experience with Risk models such as ADCO, QuantLib, ORE etc.
- Expertise in Python programming, including scripting, data manipulation, and familiarity with relevant libraries (e.g., NumPy, SciPy, Pandas for scientific computing, or specific frameworks depending on the domain)
- Experience in using SWIG to generate Python bindings for C++ libraries.
- Familiarity with Git, CMake, and build systems.
- Integration experience with APIs, messaging systems, and databases.
- Degree in Computer Science, Mathematics, Engineering, or related field.
Nice to have skills
- Cloud deployment experience (AWS, Azure).
- Knowledge of Adjoint Algorithmic Differentiation (AAD).
- Prior experience in banking or financial risk systems.
