Quant Developer Consultant
300 Vesey St New York, NY 10282
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.
- 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.
- Education & Experience: Master’ s degree.
- Field of Degree: Computer Science/Engineering/Mathematics or related field.
- 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.