Company Overview
Our client is a leading global financial institution renowned for their cutting-edge risk management solutions. As part of their Global Risk Analytics (GRA) team, they are responsible for developing innovative risk models for a wide range of financial and operational risks. Their mission is to set industry standards and provide critical tools to identify, measure, and manage risk while enhancing enterprise-wide compliance across the organisation. With a strong focus on collaboration and innovation, they foster an inclusive and dynamic work environment that encourages continuous learning and professional growth.
Our client is currently seeking a highly skilled Traded Risk Contractor CCRXVA to join their team in Krakow, Poland. This is an exceptional opportunity for a quantitative finance specialist to contribute to the development and enhancement of their CCR/XVA library while working alongside a talented and diverse team of professionals.
Position Overview
As a Traded Risk Contractor CCRXVA, you will play a crucial role in developing and maintaining the Cross-asset library for calibration, simulation, pricing, aggregation, and sensitivity computation. Your expertise in quantitative finance and strong programming skills will be instrumental in assessing and validating the performance of risk models using real-world data. You will collaborate with cross-functional teams to drive improvements to the systems and data infrastructure supporting the deployment of CCR&XVA models, ensuring alignment with methodologies and governance standards.
Responsibilities
- Develop and enhance the Cross-asset library for calibration, simulation, pricing, aggregation, and sensitivity computation
- Assess and validate the performance of risk models using real-world data
- Support the ongoing maintenance and improvement of the CCR/XVA library
- Understand the features, assumptions, and limitations of the models, proposing enhancements and identifying target market data
- Drive improvements to the systems and data infrastructure supporting the deployment of CCR&XVA models
- Coordinate projects aimed at aligning methodologies and governance standards
- Assist in the ongoing application of models in a business-as-usual risk management framework
Requirements
- At least 4 years of experience in a quantitative finance role
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, and PFE
- Minimum Master’s level degree in Mathematics, Computer Science, Engineering, or a related discipline
- Excellent understanding of Stochastic Calculus applied to quantitative finance
- Knowledge of numerical optimisation techniques and challenges
- Strong programming skills in C++, Python, and Linux
- Experience with Apache Beam, GCP, MKL, Protobuf, CMake, Jenkins, or Docker is a plus
- Open personality and effective communication skills, with the ability to work in an international team
- Ability to handle data analysis tasks under stressed timelines (hours)
- Well-organised and capable of managing multiple tasks in parallel
Benefits
- Competitive compensation
- Hybrid work model with 1 day in the office and 4 days remote
- Opportunities for professional development and career growth
- Exposure to a wide range of financial risk management projects
- Collaborative and inclusive work environment
As a Traded Risk Contractor CCRXVA, you will be immersed in a dynamic and fast-paced environment where your expertise in quantitative finance will be highly valued. You will have the opportunity to work alongside a diverse team of professionals who are passionate about delivering innovative risk management solutions.
How to Apply
If you are a quantitative finance specialist with a strong background in risk management and a passion for innovation, we encourage you to apply for this exciting opportunity. Please submit your CV and a cover letter highlighting your relevant experience and skills to harvinder.rattan@blvdr.pl For any questions or inquiries, please contact our recruitment team at + 48 122 119 032