*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 (eg, 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 programming skills. Able to read and/or write code using a programming language (eg, 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 (eg NAG, MATLAB) Experience with automated testing frameworks (eg, Junit, TestNG, PyTest, etc.)
