Quantitative Developer Jobs

Description

Sr Quant Risk Development Associate is responsible for developing/implementing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House and their C++ implementation and testing for Windows and Linux. The models include pricing asset classes constituting CME portfolios, models related to Value-at-Risk, Liquidity, Regulatory Capital, and compliant with Stress Testing and other model validation techniques. The role implies developing tools for Portfolio Analytics and particularly Sensitivities, Margin Coverage, Risk Scenario generation, Liquidity charges, and reports.This role would fit someone with hands on experience risk model implementation and/or pricing models in IRS, FX, CDS, Swaptions, or Futures/Commodities and participation in C ++ projects.

Principal Accountabilities:

• Code development of new quantitative risk models within the CME C++ production risk library (based on mathematical specifications and research code)
• Work with the QA teams to ensure correctness not only within the risk library itself but also the integration into the wider system infrastructure (e.g. data integrity, correct usage)
• Collaborate with offshore development teams and coordinate projects to guarantee a timely delivery
• Lead or manage junior quantitative developers and mentor/develop skills among junior quant developers
• Agreeing on time lines, milestones, interfaces, required data, format, and providing documentation and usage assistance
• Work with IT teams to help bring the code into production
• Writing unit and functional test cases and obtaining test data from systems or other groups
• Responsible for code reviews, design discussions and documentation

Skills and Software Requirements:

• Working knowledge of versioning systems (e.g. git) and development environments (e.g. Visual Studio, Eclipse)
• Ability to read and understand mathematical and algorithmic specifications
• Experience in developing finance related software with an emphasis on (numerical) algorithms (e.g. pricing or calibration)
• Good knowledge of C++ with strong working knowledge in STL and 4 + years of experience
• Ability lead or mentor junior developers (onshore and offshore) and to collaborate with other teams (onshore and offshore)
• Possession of good analytical, mathematical, and problem solving skills, with good quantitative skills being a plus
• Good presentation/writing skills on code documentation, white papers, etc. as well as strong oral and written communication skills
• Basic knowledge of Java and/or C#
• System experience with Linux/Unix environments, databases, Latex documentation system is a plus

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