data scientist for risk models in fintech

Revolut Ltd; United States; Remote; USD 140,000 - 200,000; Full time

Benefits offered by this job

Revolut Metal subscription

Year-round events

Job summary

Revolut Ltd в США ищет старшего специалиста по моделированию рисков для разработки и поддержания методик по ликвидности и рыночным деривативам, создания эффективного ядра риск-модели и моделирования маржи.

В должности потребуется внедрить в производство риск-модели, автоматизировать аналитические рабочие процессы (P&L, ежедневный риск, денежные потоки) и готовить отчётность для руководства.

Qualifications

• 3+ лет опыта в ML, финансовой инженерии или смежных ролях в ликвидности/деривативам.

Responsibilities

• Разработка и поддержка методик по ликвидности и рыночным деривативам.

Skills

Machine learning

Financial engineering

Derivatives pricing

Time-series methods

Education

Degree in quantitative field (math/stats/fin eng/ML/CS)

Tools

Python

SQL

Job description

Описание:

Develop and maintain methodologies and policies for liquidity and market derivative modelling Deliver data-driven solutions that create product impact Build, enhance, and maintain the core risk engine, including margin models, leverage frameworks, and liquidation logic Develop and calibrate risk models for isolated and cross margin, partial and full liquidation, bankruptcy pricing, and future portfolio margining Collaborate with Engineering to deploy risk methodologies into production systems and iteratively improve models based on market conditions Automate advanced analytic workflows, including P&L attribution, daily risk reporting, short-term investment performance, and cash flow analysis Prepare compliance documentation and present risk insights, exposures, and recommendations to senior leadership

Требования:

Degree in mathematics, statistics, financial engineering, machine learning, or computer science 3+ Years of experience in machine learning, financial engineering, or similar roles within liquidity or market derivatives Knowledge of margin trading mechanics, derivatives pricing models, and liquidation and liquidity risk management Expertise in building and validating risk and margin models, including VaR, Expected Shortfall, SPAN, CCP-style IM/VM, stress tests, and scenario simulations Proficiency in quantitative modelling, time-series methods (GARCH, ARIMA, stochastic calculus), advanced Python, and SQL for large-scale data analysis Familiarity with high-frequency datasets and fast-paced risk environments Будет плюсом: Experience at a major financial institution, asset manager, or liquidity provider, or in a treasury or risk department (FTP, ALM, liquidity, IRRB, etc.); exposure to market-making workflows and risks (inventory management, P&L drivers, spread optimisation, and internalisation strategies); familiarity with regulatory and institutional risk frameworks (Basel III/IV, FRTB, SA-CCR, CCP margin methodologies)

Условия:

• Financial benefits Revolut Metal subscription with perks
• Year-round events