Job Description

***Hybrid, 3 days onsite, 2 days remote***

***We are unable to sponsor as this is a permanent full-time role***

A prestigious company is looking for a Quantitative Model Developer. This role will focus on quantitative model developer, quantitative risk management, model testing, financial products and derivatives.

Responsibilities

• Develop models for pricing, margin risking and stress testing of financial products and derivatives
• Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations
• Implement new models into model library and enhance existing models
• Write and review documentations (whitepapers) for the models, model prototypes and model implementation
• Perform model performance testing, including portfolio back-testing using historical data
• Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality
• Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed
• Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support

Qualifications

• Master’s degree/PhD or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
• 7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing
• Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
• Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
• Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
• Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
• Strong programing skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
• Proficiency in database technology, query languages (such as SQL), and efficient storage and serialization protocols
• For model development and prototyping role: proficiency in a scripting language such as Python, R or MATLAB
• Experience with numerical libraries and/or scientific computing including numerical optimizers (e.g. NAG, MATLAB)
• Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.)

Job Tags

Similar Jobs