Lead Software Engineer - Quanitatitve Risk Management - Request Technology, LLC - Hybrid in Chicago, IL, US | Dice.com

Request Technology, LLC

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Lead Software Engineer - Quanitatitve Risk Management

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

Full Time

Hybrid

$180,000 - $190,000/yr

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Job Details

Skills

Python
QRM
Quantitative Models
Derivatives
junit
TestNG
Pytest
SQL
Java
C++

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 Lead Software Engineer Quantitative Risk Management. This engineer will be responsible for software development using Python within QRM operations.

Responsibilities:

Support the development of quantitative models for pricing, risk management, and stress testing of financial products and derivatives.
Review model documentation including whitepapers and implementation notes.
Design, implement, and maintain model prototypes and model testing tools using best industry practices and innovations.
Review and conduct comprehensive quality assurance testing on the implementation of models and algorithms for both QRM Library and prototypes focusing on requirement verification, coding, and testing quality, which involves the constructions of test cases, automation of model unit testing and creations of reference models if needed.
Present test plans and test results to, and obtain feedback from peers, model validators, and model developers.
Participate in code reviews for QRM Library, model prototypes, and Model Development Tool.
Contribute to the model release testing including margin impact analysis and baseline support and troubleshooting during model library integration with production applications.
Contribute to the development and testing of Model Development Tool including databases, ETLs, services, orchestration, and CI/CD pipelines.
Support large-scale model backtesting using historical data, including system configuration, execution and analysis of results.
Provide integration support to the application consuming QRM libraries.
Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations.
Provide production support for numerical libraries and risk management systems as assigned per the QRM s support schedule.

Qualifications:

Master s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering.
6+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing.
Strong quantitative skills, ability to demonstrate deep understanding in the following technical areas:
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)
Good understanding of markets and financial derivatives in equities, interest rates, and commodity products.
Proficiency in Python for prototyping and test automation.
Experience with numerical libraries and/or scientific computing.
Experience with automated quality assurance frameworks (e.g., Junit, TestNG, Pytest, etc.) for model testing.
Experience in relational database technology and SQL query language.
Experience in office technology such as PowerPoint, Word, and Excel.
Effective application of data structure, design patterns, expertise in object-oriented design.
Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins).
Proficiency in non-relational DB and other Big Data, cloud-based experience.

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: 8761657
Posted 30+ days ago

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Lead Software Engineer - Quanitatitve Risk Management

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