Senior Software Developer

CompatibL, a leading provider of trading and risk management software solutions, is looking for a talented Python Developer with a good level of English (B2+) to join its growing team.

About the role

You will design and build risk calculations for Hypothetical P&L, Risk-Theoretical P&L, and Historical VaR — owning the full HVaR pipeline end-to-end, and architecting calculation components for the upcoming Expected Shortfall extension. Along the way, you will optimise compute-intensive batch and intraday workloads, own quality through automated testing and reconciliation frameworks, and collaborate closely with quant developers and the Historical Data Store team.

Responsibilities

• Design and implement large-scale risk calculations: historical scenario generation, full-revaluation and sensitivity-based P&L vectors, VaR aggregation across desks/legal entities.
• Build the HVaR calculation pipeline end-to-end: scenario construction from historical market data, portfolio revaluation orchestration, percentile/tail metrics, drill-down and what-if support.
• Architect for the ES extension: parameterised confidence levels, expected-tail-loss aggregation, stressed calibration windows, liquidity horizon bucketing.
• Optimise compute-intensive batch and intraday workloads (distributed computation, caching, vectorisation, incremental recalculation).
• Own quality: automated testing against benchmark results, reconciliation frameworks, performance regression suites.
• Collaborate with quant developers (HPL/RTPL investigations) and the Historical Data Store team consuming their market data.

Must-have skills

• 7+ years of professional software engineering with Python or C++, with strong Python knowledge since it is widely used in analytics.
• Experience building or operating high-throughput calculation platforms — grid computing, Spark/Dask/Ray, or in-house distributed batch frameworks; profiling and optimising numerical workloads.
• Working knowledge of market risk measures — VaR (historical simulation in particular), P&L vectors, scenario shocks (absolute/relative/log returns), aggregation and netting.
• Handling large time-series and position datasets efficiently (columnar formats, partitioning, memory management).
• CI/CD, automated testing of numerical code (tolerance-based comparison, golden datasets), code review culture, production support mindset.

Nice-to-have

• Prior implementation experience with Expected Shortfall / FRTB IMA (ES at 97.5%, liquidity horizons, reduced/full risk factor sets, stressed period selection).
• Experience with HPL/RTPL production and PLA testing.
• Numerical computing depth: numpy/scipy internals, vectorisation, GPU acceleration.
• Kubernetes/cloud-native deployment of compute workloads.
• Experience integrating with quant pricing libraries via C++/Python bindings.

Conditions of work, benefits and perks

• Full-time employment / cooperation with flexible working hours
• Comfy workplace in Warsaw or remote/hybrid option, of your choice
• Equipment: desktop computer/laptop, monitor(s), and office accessories
• Team-building events, company outings, and sport activities
• Internal training programs

Employment

• Up to 26 paid days of annual leave
• Annual bonus implemented after the end of the calendar year at the discretion of management basing on performance
• Private Luxmed medical care package
• Partial reimbursement for Medicover Sport package (coverage depends on selected plan)
• From partial to full reimbursement for training, conferences, and certifications based on certain criteria

Rewards and benefits for B2B cooperation are discussed and negotiated individually.