Request Technology, LLC
Lead, Quantitative Risk Development
Request Technology, LLC, Chicago, Illinois, United States, 60290
Overview
Location: Chicago, IL. Hybrid: 3 days onsite, 2 days remote. Salary: Open + Bonus. This role is open to H1B transfer. Qualifications
Master’s degree in quantitative fields 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 For model development and prototyping role: proficiency in a scripting language such as Python, R or MATLAB Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.) 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, back testing, scenario analysis) Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products Strong programming 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 Strong problem-solving skills: be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources Ability to challenge model methodologies, model assumptions, and validation approach Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.) 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 documentation (white papers) for the models, model prototypes and model implementation 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 Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations Job details
Seniority level: Mid-Senior level Employment type: Full-time Job function: Information Technology Industries: Information Technology & Services and Financial Services
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Location: Chicago, IL. Hybrid: 3 days onsite, 2 days remote. Salary: Open + Bonus. This role is open to H1B transfer. Qualifications
Master’s degree in quantitative fields 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 For model development and prototyping role: proficiency in a scripting language such as Python, R or MATLAB Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.) 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, back testing, scenario analysis) Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products Strong programming 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 Strong problem-solving skills: be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources Ability to challenge model methodologies, model assumptions, and validation approach Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.) 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 documentation (white papers) for the models, model prototypes and model implementation 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 Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations Job details
Seniority level: Mid-Senior level Employment type: Full-time Job function: Information Technology Industries: Information Technology & Services and Financial Services
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