Quantitative Risk Model Developer CCRXVA

Join us, and master cutting-edge financial risk models!

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.

Your main responsibilities: Developing cross-asset libraries for calibration, simulation, pricing, aggregation, and sensitivity computation

• 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

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

#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