The role involves developing and maintaining the ACE Python application for derivatives credit risk and exposure calculations firm-wide
Job Summary
The role involves developing and maintaining the ACE Python application for derivatives credit risk and exposure calculations firm-wide.
Candidates will collaborate with Quant and Front Office teams to integrate pricing models and workflow enhancements into the production environment.
The position offers a competitive base salary ranging from zł268,390.00 to zł457,010.00 along with comprehensive benefits including pension and medical care.
Matching Summary
The role involves developing and maintaining the ACE Python application for derivatives credit risk and exposure calculations firm-wide.
Salary
Base: zł268,390.00 - zł457,010.00; Bonus/Equity: Annual discretionary incentive award available; Benefits: Employer paid pension, private medical care, life insurance, and cafeteria flex benefit
Skills & Requirements
Must-have
Python programming for financial applications
Linux and Windows software development
UNIX Shell scripting (ksh, bash)
Git version control proficiency
Mathematical finance and stochastic calculus
CI/CD pipeline experience with Jenkins
Nice-to-have
Monte-Carlo methods familiarity
Regulatory project experience Basel III FRTB
Grid computing and distributed architecture
Cloud migration experience
Derivatives pricing library knowledge
Key Requirements
Master's degree or PhD in Computer Science, Mathematics, Engineering, or Physics
Solid mathematical finance and statistical analysis skills
Experience with Regulatory projects like Model Risk or Stress Testing