Internal Model Application Expert F/M

Job description

The role

Manage the internal codebase and database of the Monte Carlo simulation engine that underlies the local credit risk insurance internal model of AZT. You are a medior or senior software engineer, with an interest for the model side and products understanding. You translate the theoretical concepts in a working implementation.

Main tasks

Architectural design

• understand the existing data collection, data transformation, simulation and reporting tools
• coordinate with Ops/ICT/data scientists about model or data input streams from different sources
• challenge data lake, data warehouse, or cloud database solutions from ICT
• anticipate automation needs in early stage

Development

• coding in python with use of libraries
• refactoring old code from C++ and SAS into Python
• release management in eg GITLab
• manage forks in a testing and production environment
• document code
• automated (unit) performance tests and data quality metrics

Extension

• propose continuous improvements to the tools' infrastructure and process optimisation
• improve existing code for runtime speed
• write new code when new model features are specified
• testing in sandbox before entering into production
• automate some manual steps in reporting or data extractions

Maintenance

• problem solving when colleagues execute the quarterly calculations/reports
• maintain the platform used to collect the data from the local entities
• participate in the development and implementation of the necessary tools to support the model review, testing, analysis and reporting of SCR
• maintain/support the maintenance of the Internal Model infrastructure 
• participate in/support different Group IT initiatives or projects

Profile

• Bachelor or Master in Computer Science, Software Engineering, Systems Engineering or other Engineering, Mathematics or Science degree or equivalent through experience
• Experience with simulations and distributed/parallel/cloud computing
• Hands on with relational database design, management, SQL queries, data lakes, and datawarehousing
• Oriented towards runtime optimization
• Coding skills in Python is a strong asset
• Well organized and efficient in time management
• Strong analytical mindset
• Detailed and result oriented
• Ability to work on several tasks/projects at the same time