Senior Market Risk Developer – Historical Timeseries (Contract)

Primary Responsibilities:

• Data Sourcing & Integration
Source historical market data from multiple internal and external providers.
Integrate with quant libraries to identify data quality issues and validate risk inputs.


• Data Quality & Remediation
Integrate with Quant APIs to detect and remediate common data quality issues (gaps, stale data, outliers, misalignments).
Implement algorithms for gap-filling, back-filling, and anomaly correction to ensure data is fit for VaR and SVaR calculations.


• Infrastructure Development
Build and enhance Snowflake-based time series infrastructure for scalability and performance.
Develop Python ETL/ELT pipelines and optimized SQL models for historical time series storage and retrieval.


• Collaboration & Governance
Work closely with Market Data and Risk teams to define canonical market observables and maintain data lineage.
Ensure reproducibility and auditability of risk inputs for regulatory compliance.

Essential Experience/ Skills:

• 7+ years of hands-on experience in developing applications using Relational Databases and Big-data platforms. 


Technical:
• Strong Python (pandas, numpy, data engineering best practices).
• Advanced SQL and Snowflake (warehouse management, streams/tasks, query optimization).


Domain Knowledge:
• Market risk concepts: VaR, SVaR, sensitivities, stress testing.
• Handling end-of-day market data and historical time series across asset classes.


Techno-Functional
• Ability to translate risk requirements into technical solutions and data contracts.
• Bachelor’s degree, preferably in Computer Science, Engineering, Mathematics, or similar technical discipline

Personal Attributes:

• Strong analytical and problem-solving skills, including the ability to troubleshoot and resolve complex data related issues
• Strong verbal and written communication skills
• Self-starter and entrepreneurial in approach
• Ability to escalate and follow-up proactively
• Good time management skills