About this opportunity
New York Technology Partners lists this Senior Quantitative Developer opportunity in chicago, Illinois. Review the employer’s description below for duties, qualifications and application requirements.
Job description
Job Title: Lead Associate Principal, Quantitative Risk Management
Location: Chicago, IL (Onsite – Hybrid - 3 days in a week)
Position Type: Fulltime permanent position
Responsibilities
What You'’ll Do
The Lead Associate Principal role is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. This role will collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models.
Primary Duties and 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 documentation (such as whitepapers and technical documentation) for the models, model prototypes and model implementation
Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality
Conduct comprehensive quality assurance testing on model library including construction of test cases, automation of model unit testing and creation 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
Provide production support, participate in troubleshooting and analysis of model, system and data issues
Support the launch of new products
Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations
Communicate model analysis to professionals across the Client and collaborate with cross‑functional departments
Qualifications
Technical Skills
(Required) Experience in database technology and query languages (such as SQL). Non‑relational DB and other Big Data, cloud‑based computing experience
(Preferred) Experience in Java is required for model implementation (Java 8 or later)
(Required) Experience in a scripting language such as Python, R or MATLAB
(Preferred) Experience with numerical libraries and/or scientific computing
(Preferred) Experience with automated testing frameworks is preferred (e.g., Junit, TestNG, PyTest, etc.)
(Preferred) Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins)
(Required) Experience with software design: effective application of design patterns, expertise in object‑oriented design is required for model implementation
(Preferred) Experience with high performance computing
(Required) Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel
Education and/or Experience
(Required) Master’s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
(Preferred) Advanced degree, e.g., PhD
(Preferred) 7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing
Certificates or Licenses
The requirements listed are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.
(Required) Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
(Required) Econometrics, data analysis (e.g., time series analysis, GARCH, fat‑tailed distributions, copula, etc.) and machine learning techniques
(Required) Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
(Required) Risk management methods (value‑at‑risk, expected shortfall, stress testing, backtesting, scenario analysis)
(Required) Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
(Required) Basic programming skills: able to read and/or write code using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
(Required) Problem‑solving skills: Be able to identify a problem’s possible source, conduct study and provide reasoning in estimating severity and impact
(Required) Ability to challenge model methodologies, model assumptions, and validation approach
(Required) Experience in technical and scientific documentation (e.g., white papers, user guides, etc.)
(Required) Business‑oriented and responsible
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Worksite address
chicago, IL, 60290, US
Who can apply
Review the original listing for work authorization, qualifications and employer requirements.