Expert Quantitative Risk Model Developer for Counterparty Credit and Derivative Valuation

3 days ago


Kraków, Lesser Poland, Czech Republic ITDS Full time
About This Opportunity

We are seeking an experienced Quantitative Risk Model Developer to join our team at ITDS. In this role, you will be responsible for developing robust models for counterparty credit risk (CCR) and derivative valuation adjustments (XVA).

As a member of our team, you will collaborate closely with regional teams to enhance enterprise-wide compliance and improve risk reporting systems. Your expertise in quantitative finance and programming skills will be essential in driving improvements to our systems and data infrastructure supporting CCR and XVA model deployment.

Key Responsibilities
  • Develop and maintain accurate and efficient models for CCR and XVA using advanced statistical techniques and programming languages such as C++ and Python.
  • Analyze and validate model performance using real-world data to ensure its accuracy and effectiveness.
  • Work collaboratively with cross-functional teams to identify areas for improvement and implement changes to our systems and data infrastructure.
  • Coordinate projects aimed at aligning methodologies and governance related to risk management frameworks.
Requirements

To be successful in this role, you will need:

  • A strong background in quantitative finance and experience working with complex financial models.
  • Excellent programming skills in C++, Python, and Linux.
  • Effective communication and collaboration skills to work with cross-functional teams.
  • Familiarity with technologies such as GCP, CMake, Jenkins, Docker, or similar.
Benefits

As a Quantitative Risk Model Developer at ITDS, you can expect a range of benefits, including:

  • Access to over 100 projects to expand your skills and experience.
  • Private healthcare and multisport card to support your well-being.
  • Access to Pluralsight for ongoing professional development.
About ITDS

ITDS is a global leader in financial services dedicated to developing state-of-the-art risk models for financial and operational risks. Our team is passionate about creating innovative solutions to complex problems and we are committed to providing our employees with the support and resources they need to succeed.



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