4 months ago
London, United KingdomSenior
Responsibilities
- Design, implement, and support scalable Python-based risk engines using position, reference, and market data stored in Snowflake.
- Optimize risk generation for accuracy, performance, reliability, and cost.
- Optimize distributed computation using strong data structures and algorithms.
- Reconcile risk results from the Orchestration platform with legacy internal risk systems and correct trade breaks.
- Investigate pricing and risk issues reported by risk management.
- Collaborate with internal IT teams to deliver a seamless end-to-end risk process.
- Participate in an on-call support rotation.
Requirements
- At least 7 years of development experience.
- Strong Python experience and ideally C# .NET experience.
- Experience building and supporting pricing and risk-management systems for equities, fixed income, credit, FX, or commodities.
- Understanding of cash and derivative products and associated risk measures such as delta, gamma, vega, theta, and rho.
- Understanding of market data used for risk generation, including yield curves, volatility surfaces, credit curves, correlation matrices, and spot FX.
- Understanding of VaR, historical P&L vector generation, P&L generation, P&L attribution, and custom risk scenarios.
- Experience with CI/CD, unit testing including pytest, and observability tooling.
- Strong understanding of distributed computing.
- Bachelor's degree, preferably in Computer Science, Engineering, Mathematics, or a similar technical discipline.
- Snowflake SQL expertise is desirable.
- AWS Cloud experience, including EC2 and S3, is desirable.
- Airflow, MWAA, or equivalent job scheduler experience is desirable.
- Kubernetes, EKS, Lambda, or serverless AWS experience is beneficial.
- Experience with messaging layers such as ZMQ, RabbitMQ, or Kafka is beneficial.
- Strong analytical, problem-solving, communication, troubleshooting, prioritization, and attention-to-detail skills.
Tech Stack
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