Python - Quantitative Model Validation Engineer

Title: Quantitative Model Validation Engineer - Python

Location: Buffalo/NYC, NY  (Hybrid -3 days in office)

Duration: 9 months contract with potential extensions

In-person Interview required

Pricing models - Black Scholes/Dupire/SABR/Heston

Essential Skills and Qualifications

• Solid understanding of quantitative models and methodologies, with the ability to critically assess and validate them.
• Strong proficiency in Python (good development practices) and experience with key data structures and libraries.
• Knowledge of financial markets, products, and pricing frameworks.
• Strong problem-solving skills and the ability to work on sophisticated model related challenges.

Key Responsibilities

• Design and implement validation framework to assess the performance of analytics produced by client''s quantitative Libraries.
• Perform in depth validation of quantitative models and evaluate them using relevant performance metrics.
• Design and implement a technical solution to validate and monitor financial models
• Develop an understanding of the quantitative library and its key components.
• Produce clear, well-structured validation reports and present findings to internal collaborators.
• Define model testing strategies and document model methodologies and assumptions.
• Contribute to build and maintain the automated tests framework.
• Apply strong knowledge of financial markets, including pricing conventions, valuation assumptions.
• Deliver high quality insights and support with a strong customer focused mindset.
• Solve complex analytical and technical problems with a high degree of independence.