Citirisk Market Risk application capture and process large volume of factor sensitivity (FS) records for trading units and run Monte-Carlo simulation to calculate Value-at-Risk (VaR) and Component Value-at-Risk(CVaR) that are used for internal risk and regulatory risk monitoring.
Requirements
- Experience in core Java development and knowledge of framework such as Spring, Arca, Flink etc
- Working experience with Oracle and PL/SQL is also a plus.
- Multi-threading experience is a plus
- Knowledge of Python is preferred
Responsibilities
- Develop and optimize scalable Java data pipelines for processing and analyzing large scale financial data.
- Design and implement distributed computing solutions for risk modeling, pricing and regulatory compliance.
- Ensure efficient data storage and retrieval using Big Data.
- Implement best practices for performance tuning of both Java processes and SQL query.
- Design and implement distributed computing solutions for risk modeling and regulatory compliance.
- Maintain high code quality through testing, CI/CD pipelines and version control (Git, Jenkins).
- Work on batch processing frameworks for Market risk analytics.
Other
- 5-8 years of relevant experience
- Experience in systems analysis and programming of software applications
- Experience in managing and implementing successful projects
- Working knowledge of consulting/project management techniques/methods
- Ability to work under pressure and manage deadlines or unexpected changes in expectations or requirements
