Python Counterparty Credit Risk Senior Developer, Vice President

The team's primary focus is the development, testing, deployment, and maintenance of the production derivatives credit risk application, used for internal risk management and regulatory capital purposes.

The Counterparty Credit Risk Senior Application Developer position is a senior role that will interface closely with Quant and Front Office technology teams to integrate pricing models and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture.

The role will involve tasks such as

• Developing and maintaining the Counterparty Credit Risk applications, leveraging in-house Python and C++ model libraries.

• Supporting and improving CI/CD (build, testing and release management) of the credit risk application.

• Contributing to the codebase to optimize performance and consolidate the workflow across asset classes.

• Extending existing test suites, including unit, regression, and integration tests. Performance and memory profiling. Assisting in the execution of impact analysis testing runs.

• Identifying and developing calculation optimization improvements

• Working on documentation.

• Working with Front Office teams to integrate quant library/technology enhancements into the codebase.

• Utilizing in-depth specialty knowledge of applications development to analyze complex problems/issues, provide evaluation of business process, system process, and industry standards, and make evaluative judgements.

• Serving as advisor or coach to new or lower-level developers.

• Exercising independence of judgement and autonomy.

• Acting as SME to senior stakeholders and /or other team members.

Qualifications

• Expert in Python

• Ability to write clean, tested highly efficient code.

• Proven track record of developing and supporting analytics library for derivatives pricing and risk.

• Experience developing software for Windows and Linux.