Quant Developer Consultant

New York, NY 10282

Post Date: 07/03/2018 Job ID: 10597 Category: .NET, C++, Java, Quant

The Quant Dev  Consultant will help on implementing Risk Models that evaluate counterparty exposures to the Clearing House. These include models related to Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.).    He/She will work on enhancing the existing risk report infrastructure. The Quant Dev Consultant will also work to implement strategies to perform back-testing to ensure the adequacy of margin coverage and model assumptions.

 

This position will also entail significant interaction with the Clearing Risk Management and Valuation Team to implement, test and maintain the data cleansing methodologies and risk models. As such, this role would require the ability to multi-task and operate under aggressive deadlines.

 

Principle Responsibilities:
  • Enhance existing risk models as well as implement new models for futures and option products (pricing, VaR, Backtest, Stress, Liquidity, etc.)
  • Enhance existing risk report infrastructure.

 

Position Requirements:
  • Education & Experience: Master’ s degree.
  • Field of Degree: Computer Science/Engineering/Mathematics or related field.

 

Required Skills:
  • Strong with OO concepts.
  • Strong .Net/C# or C++ or Java development experience.
  • Knowledge and experience of UI development.
  • Knowledge of design patterns and their implementation.
  • Knowledge of relational database programming, and experience with SQL Server or Oracle.
  • Delivery of high quality code with unit tests and automated testing.
  • Strong ability to learn existing application quickly.
  • Ability to work independently.
  • Solid verbal and written communication skills.
  • Advanced C# language capabilities (generics, delegates, lambda syntax, LINQ)
  • Knowledge of Financial Math including pricing complex derivatives, statistical analysis with financial time series and risk models
  • Product knowledge of fixed income, fx or commodity products is a plus.

 

Rich Drennen


Not ready to apply?

Send an email reminder to:

Share This Job:

Related Jobs: