Senior Python Developer NYC
Senior Python Developer
Job ID: Job-1521
Job Title: Senior Python Developer
location: New York, NY
Jobtype: Permanent
Rate: $125K - $140K +bonus
Description: Senior Python Developer to work on a highly visible Regulatory project. The candidate should be proficient in Python and should have experience developing customized applications using Python connecting to Relational Databases. Experience with process automation using Python scripting will be a plus.
Job Description:
- Provide support and enhancements for the multi-tiered application used for computing Comprehensive Risk Measure (CRM) and Incremental Risk Charge (IRC) for the Credit, Structured Credit, Public Finance, Mortgage Derivatives and Distressed businesses
- Understand the inputs and outputs of the computation runs and dependencies between various steps and application components aiming to optimize job runs end-to-end
- Design and implement automation steps to minimize user intervention between run steps, thus reducing both operational risk and E2E run times
- Ensure that all weekly runs are completed on time and data is provided to downstream consumers in Market Risk and Enterprise Capital Management.
- Ensure that portfolios and other key inputs are refreshed before the weekly runs
- Ensure that data validation steps are completed and issues are resolved before the 100K runs
Responsibilities include support, enhancement and maintenance of the processes required for a critical regulatory reporting project, mandated by Federal Reserve. This is a highly visible project, as the numbers reported have a direct impact on the Bank’s capital reserve requirements. Background on this project is below:
Basel 2.5 requires the computation of a Comprehensive Risk Measure (CRM) and Incremental Risk Charge (IRC). A Monte Carlo simulation approach is used to calculate the CRM / IRC values at the 99.9% confidence level, over a one year horizon. All trades are valued for each one of the simulated market data paths (scenarios). Once these valuations (i.e. mark-to-market (MTMs)) are computed, the portfolio level MTMs for each path (scenario) can be sorted, so that the portfolio MTM with only .1% of the valuations worse (less) than it can be selected as the CRM / IRC number.
Desired Skills
Programming: Python, Java/C++
Database: SQL Server, Oracle
Email resume in Word to TheBigGameHunter@cisny.com. Please include the job code for the position with your resume.
NO OVERSEAS RESUMES. NO 3RD PARTIES.
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