The Risk Engines group is a global group responsible for the systems which handle the exposure and stress calculations, acr...
The Risk Engines group is a global group responsible for the systems which handle the exposure and stress calculations, across both Credit and Market Risk. We interact with business users such as the risk quantitative analysts and risk managers. The sheer volume of daily data means we have to consider innovative solutions to allow our compute and data storage capabilities to scale with the demands of increasing trade populations and regulatory-driven business requirements.
Our tech stack is predominantly distributed Python ans Java services, with relational and distributed databases, GemFire as a caching layer and ActivePivot for real-time interrogation of aggregated risk metrics. We use Python, mostly as a scripting layer, but also for rapid prototyping and development of services. We are also building out a Hadoop store of market risk data, which incorporates Dremio for data querying and both Arrow and Parquet as columnar data formats.
The successful candidate will work on the build-out of new functionality for FRTB / IMA. They will need to work closely with Methodology quants, and to work with developers and Client across the 3 main offices. They will be expected to adapt to new technologies quickly, and to work across a range of data-oriented tech including ActivePivot, Hadoop, and Public Cloud Compute Technologies like AWS. From time to time they will have to analyse requirements, propose designs (for example for new services), circulate them for feedback, break the design down into tasks and execute them. The ability to be clear and precise in both written and verbal communication is also critical.
Skills, Experience, Qualifications And Knowledge Required
- Python (experience w/ pandas, numpy).
- Experience of working either with Methodology/Quants or on pricing/risk models.
- Strong Financial Risk knowledge - market risk, credit risk, front office risk, etc.
- Market Risk - VaR methodology, P&L Explains/Predict, FRTB, SBA, IMA.
- Java - core language (Java 8+), multi-threading, performance optimisation.
- Distributed, service-oriented architectures.
- Hadoop, Dremio and the related ecosystem.
- ActivePivot, GemFire or similar in-memory cache/aggregation technologies.
- AWS Technologies