About the Programme
Our client’s Credit Risk Engine group oversees the development and maintenance of the PRISM OTC system, which is responsible for generating Counterparty Credit Risk measures. System’s Monte Carlo pricing library produces forward market-to-market valuations on the bank’s OTC trade population, aggregating the results to netting-set level into different risk measures.
The PRISM OTC consists of three pricing libraries, with the first one, written in C++, being responsible for supporting the full simulation for certain trade types that are covered by an Internal Model Method waiver agreement. The second pricing library, written in Java, supports more lightweight alternative pricing approach for the remaining trading population. Last but not least, the third library, which is also written in Java, is responsible for aggregating trade-level pricing outputs into various risk measures. The coordination between libraries and other elements of the daily overnight batches is managed by the Autosys system.
The client is in the process of launching a business-critical project including the development of collateral default models, as current models do not have any default exposure. The project will involve the implementation of the collateral default models into the bank’s Credit Risk system, accounting both for the collateral defaults and for all of the regulations imposed by the governing bodies. The consultant will be working on the risk and capital management transformation, focusing on the innovative technologies, and always striving to meet the business objectives.
About the role
Phi is looking to on-board a talented C++ Quantitative Developer to support the client in this initiative. The consultant will be working on the development of the new Credit Risk models, including collateral default models. The main responsibilities will also include improvement of the current derivative pricing models, work on the in-house quantitative pricing analytics, along with maintenance and support of the system infrastructure as required by the business needs.
- We are looking for an experienced C++ Pricing Developer with strong technical skills, including extensive knowledge of C++ and Linux with shell scripting and Perl
- Experience of working with Python is also important. Solid understanding of the derivative pricing and valuation concepts, along with familiarity with Counterparty Credit Risk exposure calculations is highly desirable
- The ideal candidate will work in a collaborative team-focused approach to development adhering to the best business practises
This role is a great opportunity to establish yourself as an essential and energetic member of the fast paced and prominent organization within a very dynamic environment. Working along world class engineers will expose you to various innovative technologies and established business practises. If this sounds like a great opportunity for you, please send your updated CV at Artem.Korytko@phipartners.com.