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Risk Engine Engineer

Risk Engine Engineer

Luxoft

2 - 6 years

12 - 16 Lacs

mumbai pune chennai

Posted:1 week ago| Platform:

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Skills Required

python java front office system architecture market risk risk management risk assessment risk engineering credit risk hazard identification var basel iii basel business analysis insurance underwriting underwriting counterparty credit risk

Work Mode

Work from Office

Job Type

Full Time

Job Description

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

Upon joining the team, the candidate is expected to be immediately working on the long-term strategic counterparty credit risk model replacement project (and subsequently any downstream models affected), responsible for all aspects of model implementation, model testing and reconciliation, design of ongoing performance monitoring plan, and documentation of the model submission package for model risk team's review.

Skills
Must have

10+ years experiences in market risk, or/and counterparty credit risk, and/or front office risk

strong hands-on coding experiences in Java and Python

expert in risk system architecture and design, with specialties in one/several of the following areas

Core risk engine build out is the most critical and desirable.

Risk system migration.

Quant lib integration and optimizations

Elastic compute

Distributed caching

Big data and reporting will be good to have.

Proved track record of working with remote teams effectively and delivering, in one/more of the following types of programs

PFE (Potential Future Exposure) and/or VaR and/or front office risk systems re-write and migration.

Large risk program deliveries, including reg programs

Good communication skills

Pay attention to details Nice to have

Experience with Monte Carlo simulation of long-time horizons

Location - pune,mumbai,chennai,Bengaluru

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Risk Engine Engineer