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Project descriptionThe 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.ResponsibilitiesNew platform integration into existing risk and pricing systems.Develop APIs and adapters for internal applications and data flows.Implement and optimize risk calculations.Ensure scalability and performance for large portfolios.Build automated testing frameworks for model validation.Collaborate with quantitative analysts and risk managers to align requirements.SkillsMust haveStrong C++ expertise (C++11/14/17 or later), STL, Boost.Strong expertise with Linux and Bash Shell.Experience with Risk models such as ADCO, QuantLib, ORE etc.Expertise in Python programming, including scripting, data manipulation, and familiarity with relevant libraries (e.g., NumPy, SciPy, Pandas for scientific computing, or specific frameworks depending on the domain)Experience in using SWIG to generate Python bindings for C++ libraries.Familiarity with Git, CMake, and build systems.Integration experience with APIs, messaging systems, and databases.Degree in Computer Science, Mathematics, Engineering, or related field.Nice to haveCloud deployment experience (AWS, Azure).Knowledge of Adjoint Algorithmic Differentiation (AAD).Prior experience in banking or financial risk systems.
