Key Responsibilities
- Develop and support ACE calculations for:
- HPL – Hypothetical Profit & Loss
- RTPL – Risk-Theoretical Profit & Loss
- HVaR – Historical Value at Risk
- Develop and maintain Python-based Historical Data Store frameworks.
- Implement data sourcing and data ingestion processes.
- Develop data quality and validation frameworks.
- Implement data filling/completion processes for historical datasets.
- Work with Oracle SQL for data querying and processing.
- Support Market Risk Management processes and calculations.
- Follow DevOps and CI/CD practices for development and deployment.
- Work with Big Data / Hadoop ecosystem, particularly MapR.
- Use C# 5.0 where required for application development and integration.
Essential Skills
- ACE Calculations – HPL / RTPL / HVaR
- Python – Data Sourcing, Data Quality & Data Filling
- Historical Data Store (HDS)
- Market Risk Management
- Oracle SQL
- Big Data / Hadoop – MapR
- DevOps / CI/CD
- C# 5.0
Candidate Profile
- 6–8 years of relevant IT/development experience.
- Strong Python development experience, particularly in data frameworks.
- Experience in Market Risk / Risk Management environments.
- Hands-on experience with HPL, RTPL and HVaR calculations.
- Good knowledge of database/data processing concepts.
- Experience with CI/CD and DevOps practices.