Quantitative Model Developer - Request Technology, LLC - Hybrid in Chicago, IL, US | Dice.com

Request Technology, LLC

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Quantitative Model Developer

Hybrid in Chicago, IL, US • Posted 30+ days ago • Updated 13 days ago

Full Time

Hybrid

$190,000 - $210,000/yr

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Job Details

Skills

Quantitative
Quantitative Risk Management
Development
Model testing
Python
SQL queries
MATLAB
R

Summary

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

Employers have access to artificial intelligence language tools (“AI”) that help generate and enhance job descriptions and AI may have been used to create this description. The position description has been reviewed for accuracy and Dice believes it to correctly reflect the job opportunity.

Dice Id: napil006
Position Id: 8762175
Posted 30+ days ago

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