Application Developer C#

Luxoft
Mid
Online interview
B2B Employment contract
Wrocław

Your tasks

The xVA IT team is responsible for the bank's strategic distributed risk system and associated toolset, extending it to support the xVA Trading desk, including:

  • Sophisticated risk analysis and reporting functionality.
  • Market and trade data interfaces.
  • Services to integrate the risk analytics engine with the trading application layer
  • Scenario and regulatory exposure calculations
  • Downstream feeds and reporting layer
  • Provide ad hoc third line development support to the desk

Projects will range from major and minor enhancements to improving controls / efficiency in existing layers, extending those applications for new business initiatives, and the implementation of newly developed in-house interfaces and technologies.

With the main trading desks located in London and New York, this role offers close contact with front office trading and quantitative personnel, the ability to build business relationships and deliver solutions that have an immediate impact to our business.

Project description

The candidate for this role will be focusing on developing the risk management platform and associated trading tools for the bank's xVA Management trading desk. This is a high profile role working on the bank's strategic Front Office Risk Platform where the right candidate has the opportunity to directly impact the project's success and stand out. This is an excellent opportunity for those with a risk background to gain front office trading and regulatory exposure.

The xVA Management desk is a global trading desk at Credit Suisse (CS) present in London, New York and Singapore that has responsibility for:

  • Credit Valuation Adjustment (CVA) Calculation and hedging
  • Collateral Adjusted Valuation (CAV) hedging
  • Funding Valuation Adjustment (FVA) calculation and hedging
  • Leverage ratio compression portfolio optimization

The successful candidate will join the xVA IT team where their primary role will be to work closely with and support the activities of the CVA trading desk, developing solutions for ongoing trading requirements and major regulatory initiatives (e.g. CCAR, FRTB). This role provides an excellent opportunity to work closely with the front office and quant analysts in areas at the forefront of regulatory change and development in investment banking.

xVA IT is a dynamic front office-facing environment and will therefore require self-motivation, enthusiasm and very good communication skills in addition to strong, broad ranging technical abilities.

Who we're looking for?

MUST

  • Strong C# server knowledge with multi-threading and excellent design skills
  • Strong MS SQL Server and/or SSAS knowledge
  • Ability to pick up any technical problem and run with it to reach a successful conclusion
  • Excellent communication skills in English (both verbal and written) to interact with key stakeholders and regional teams

NICE TO HAVE

  • Distributed grid computing platforms/solutions
  • Model integration skills
  • Exposure to market and trade data within an Investment Banking environment
  • Experience working with and being part of a global development team
  • A pro-active professional who is keen to deliver
  • A self-starter and self-learner, able to jump into any task
  • Experience and/or knowledge related to financial markets and credit risk will be considered as a plus
  • Knowledge and experience with development of WPF applications
Skills
C#
MS SQL
SQL

Our company

Luxoft

Gdańsk, Wrocław, Warsaw, Krakow, Zug 13000
Tech skills
  • Java
  • JavaScript
  • .Net

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