Quantitative Risk Model Developer CCRXVA @

15 hours ago


Kraków, Lesser Poland, Czech Republic ITDS Full time
You're ideal for this role if you have:
  • At least 4 years of experience in a quant role
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE
  • Minimum Master's level in Math, Computer Science, or Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance
  • Strong knowledge of numerical optimization techniques and challenges
  • Proficiency in C++, Python, and Linux
  • Effective communication skills and ability to work in an international team
  • Experience handling data analysis tasks under strict timelines
  • Strong organizational skills managing multiple tasks in parallel
  • Familiarity with technologies like Apache Beam, GCP, MKL, Protobuf, CMake, Jenkins, Docker, or similar
It is a strong plus if you have:
  • Experience in developing risk models for financial institutions
  • Exposure to regulatory requirements for risk reporting
  • Familiarity with enterprise-wide compliance frameworks
Join us, and master cutting-edge financial risk models

Kraków – based opportunity with hybrid work model (1 days/week in the office).

As a Quantitative Risk Model Developer CCRXVA, you will be working for our client, a global leader in financial services dedicated to developing state-of-the-art risk models for financial and operational risks. You will be part of a team focused on creating robust models for counterparty credit risk (CCR) and derivative valuation adjustments (XVA). The team spans multiple locations and collaborates closely with regional teams to enhance enterprise-wide compliance and improve risk reporting systems.

#GETREADY  to meet with us

We would like to meet you. If you are interested please apply and attach your CV in English or Polish, including a statement that you agree to our processing and storing of your personal data. You can always also apply by sending us an email at recruitment@itds.pl.

Internal number #6725

,[Assessing and validating model performance using real-world data, Supporting the ongoing maintenance of the CCR/XVA library, Understanding features, assumptions, and limitations of models to propose enhancements and identify target market data, Driving improvements to systems and data infrastructure supporting CCR and XVA model deployment, Coordinating projects aimed at aligning methodologies and governance, Assisting in the ongoing application of models in business-as-usual risk management frameworks] Requirements: C++, Python, Linux, Communication skills, Data analysis, GCP, CMake, Jenkins, Docker Additionally: Access to +100 projects, Private healthcare, Multisport card, Access to Pluralsight.

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