Risk Calculation Engineer

4 weeks ago

London, Greater London, United Kingdom Luxoft Full time
Project Overview

Luxoft's client, a global commodity trader, is embarking on a significant risk application modernization programme, streamlining their architecture, remediating legacy infrastructure issues, and providing a new scalable platform for business growth.

We are seeking a talented and motivated Risk Calculation Engineer to join our innovative team. The ideal candidate will have a strong background in Python development and experience with CI/CD practices, observability, and cloud/container technologies. You will play a key role in building and enhancing our risk analysis capabilities, ensuring accurate calculations, and improving our workflow efficiency.

Responsibilities
  • High-Level Design and Development:
    • Lead the design, development, and implementation of scalable, high-performance Python-based applications for risk analysis and reporting.
    • Collaborate with quants, risk analysts, and other stakeholders to translate complex risk requirements into robust technical solutions.
    • Optimize and enhance existing Python codebases, ensuring they meet the demands of real-time risk calculations and regulatory requirements.
  • Detailed Responsibilities:
    • Complete the happy path for single Operational Risk Engine (ORE) risk calculations or similar solutions using Python to ensure accurate and efficient processing.
    • Build out a portfolio generator that involves:
      • Mapping gas and power trades to ORE trade XML objects, handling approximately five trade types.
      • Mapping gas and power market data objects into XML format, covering about twenty different types of data.
    • Distribute calculations across multiple engines by initially implementing a simple asynchronous REST API.
    • Provide functionality to stamp and view all inputs used in trade calculations, enabling traceability and accountability.
    • Enable running calculations against a versioned engine in conjunction with CI/CD processes.
    • Collect results into a ClickHouse database for efficient storage and quick access.
    • Facilitate results viewing through native ClickHouse queries for streamlined data analysis.
    • Develop a book/business hierarchy module to enhance data presentation and decision-making.
    • Provide the capability to rerun single trade calculations in a local environment for testing and verification purposes.
    • Implement fallback mechanisms for triage when trades fail to ensure robustness and reliability.
    • Set up Jupyter notebooks for ORE analysis to be utilized by analysts for exploratory data analysis and reporting.
    • Build comprehensive end-to-end integration tests that can be automated for regression testing, ensuring the integrity of the system over time.
    Requirements
    • Technical Skills:
      • 5+ years of experience in Python development, with a focus on high-performance applications in capital markets or financial risk domains.
      • Proficiency in object-oriented programming and familiarity with libraries such as NumPy, Pandas, and SQLAlchemy.
      • Experience with distributed systems, microservices, and cloud-based architectures (e.g., AWS, Azure) is a plus.
      • Strong experience with databases (SQL and NoSQL) and handling large datasets.
    • Detailed Technical Skills:
      • Proficient in Python development, with a solid understanding of software design and implementation.
      • Experience with CI/CD processes, observability, and GitOps methodologies to manage code and deployments effectively.
      • Familiarity with cloud services and containerized environments, specifically Kubernetes (K8s) for deploying and managing applications.
    • Soft Skills:
      • Excellent problem-solving skills with a proactive approach to identifying and mitigating risk.
      • Strong communication skills, capable of translating technical language into business needs.
      • Leadership skills with the ability to mentor team members and manage cross-functional collaborations.
      Nice to Have
      • Familiarity with risk management frameworks and regulatory requirements (Basel III, FRTB, etc.).
      • AWS Certification (AWS Certified DevOps Engineer, AWS Certified Solutions Architect, etc.).
      • Knowledge of risk management in capital markets, particularly in market, credit, and liquidity risk.
      • Understanding of financial products, pricing models, and trading systems.
      • Experience working with columnar databases, enhancing data processing and analytics capabilities.

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