As a Senior Quant/Software Engineer in the Cluster Counterparty Risk (CRIP), you will be working on the development of Commerzbank’s internal model for counterparty risk. HESTEN is an in-house developed system based on a Monte Carlo simulation (MCS), calculating medium and long-term exposure forecasts The engine and its calculation results are used by other products within the CRIP platform, for example, to calculate economic and regulatory capital (EAD/RWA, XVA, ICAAP) and to limit/monitor the risks of trading.
You coordinate business requirements, solution alternatives, stochastic/pricing models and methodology in cooperation with the product owner. You propose an appropriate technical architecture and discuss the design within the team. You also carry out analysis and prototyping including test calculations. In addition, you implement new functionalities, models and processes– you review and upgrade existing services, components and GUIs of the system – including MCS or calibration tasks. You are welcome to use your expertise in order to create high-performance, stable and innovative systems that avoid architectural debt. Some of CRIP’s distributed systems run in highly scalable clusters in the Google Cloud.
In the implementation phase, you implement the concepts and you cater for automated tests, respectively. This also includes creating a comprehensive technical documentation. With code, architecture and design reviews, you deliver highest software quality including performance optimization, stability and maintainability of the data processing, as necessary. Finally, you oversee the tests and the rollout into the production environment. You also support the operations team as part of a 3rd-level support (BizDevOps) function. The project team works on a lean/agile basis with Kanban.