Overview
Skills
Job Details
Lead Principal, Quantitative Risk Management - Software Engineering
Come from derivatives or equities, that would be a huge plus
Must be able to read mathematical models, white papers, quant libraries, have a numerical math background
writing numerical code
developing quant software
Open to sponsorship
SALARY: $180k - $190k plus 15% bonus
LOCATION: Dallas, TX
Hybrid 3 days onsite and 2 days remote
Looking for a candidate with strong software development within QRM operations. Python for prototyping test automation numerical libraries. Do not wat a quant.
Summary
This role is responsible for one or more functions within Quantitative Risk Management (QRM) who develops and maintains risk models for margin, clearing fund and stress testing with the focus on developing and maintaining risk model software in production, and environments and infrastructure used in model implementation and testing.
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.
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.
Provide integration support to the application consuming QRM libraries.
Qualifications:
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)
[Required] Good understanding of markets and financial derivatives in equities, interest rates, and commodity products.
[Technical Skills:
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.
Master s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering.