Job Description

You are joining the team of market risk calculators, which is made up of professionals spread between Paris and Porto. In this team, we are working to develop and maintain a set of distributed market risk indicators calculation tools used in our marketplaces in Europe, Asia and the Americas, including producing Value At Risk (VaR) and the Incremental Risk Charge (IRC).

On a daily basis, your mission is to:

Participate in projects and functional evolutions by modeling and implementing financial product descriptions (development mainly in Java and Scala) ;

Improve and extend the pricing library Scénarisk to other financial products;

Investigate differences in price and performance in computation time;

Implement visualization and analysis tools for various functionalities;

Test, validate and assist with delivery in production environment.

The technical stack used is Java, Scala, data visualiza...