Senior Software Developer
Luxoft is a global leader in high-end software development.
Luxoft is looking for talents with a passion for technology & ready to create original solutions. Once on board, you are invited to expand your knowledge & skills, offering you a continuous learning experience helping you stretch your potential.
So if you’re enthusiastic by the idea of accessing cutting edge technology & innovation to make an impact, why don't you join us?
Senior Software Developer
Miejsce pracy: Wroclaw
Nr Ref.: VR-18227
Responsibilites
The successful candidate will have the opportunity to:
- Play a central role in the development of a 'best in class' Economic Capital model.
- Work in a team of quantitative developers responsible for implementing and maintaining ERC models in an IT prototype environment, using C#.
- Depending on the successful candidate's profile, this will likely include direct management responsibilities.
- Oversee the design and implementation of a new ERC Expense risk model, ensuring alignment with the firm's CCAR modelling approach.
- Provide steer and leadership w.r.t. proposals and ideas for design and code changes required for implementation of new requirements.
- Proactively contribute towards proposals for methodology enhancements.
- Oversee the development of unit tests for changes.
- Develop successful partnerships with counterparties in enterprise/credit/market/operational risk in terms of requirements explanation and validation (e.g. understanding of the models, their scope and any model assumptions and/or limitations).
- Take an active interest in data sourcing & work with data teams to achieve further automation. Proactively drive this forward.
Requirements
Required skills:
- Expertise in C# or other Object-Oriented Programming (OOP) language, such as C++
- Good knowledge of Python, or R
- Strong experience in Risk Management (either credit or market)
- Good knowledge of financial products, quantitative modelling
- Good knowledge of mathematics, statistics
- Open personality and effective communication skills
- Good knowledge of data structures
- Good knowledge of design patterns
- Ability to write clear and understandable documents
Requisites:
- Experience in quantitative risk measurement within an investment bank or other financial institution.
- The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering and a higher degree in one of those areas or in finance / IT.
- A professional qualification e.g. CFA, FRM, PRIMA would be an advantage.
- Candidates are required to have programming experience using C# and knowledge of R and Python is preferred.
- General knowledge of risk issues and investment products.
- Experience in methodology documentation is highly valued.
- Ability to produce high quality, accurate work, under pressure and to tight deadlines.
- Willingness to question and challenge the status quo and ability to provide alternative approaches.
Experience:
- Experience in SQL, T-SQL, etc
- Experience in ODBC
- Experience in Excel/VBA
- Experience in working with mathematical models
We offer
An opportunity to play a pivotal role to development ERC (Economic Risk Capital) Methodology within Enterprise Risk Management. The team is responsible for developing the methodology for many of the components of the bank's Economic Capital model. We are currently undergoing an extensive develop programme to improve the risk capture and sophistication of the models for it to become one of the primary metrics for strategic decision making, performance management, capital allocation and risk management.