The quantitative risk management (QRM) function within financial risk management is responsible for the development of the Firm’s methodologies for setting margin requirements and analyzing other risk issues. The quantitative development manager will be responsible for implementation and maintenance of the QRM’s model libraries and will have both software development and leadership responsibilities in the quantitative development team. Quantitative development manager will also coordinate collaboration with quantitative analysts, business users, technology staff, and model validation colleagues to implement models and systems for pricing and risk management of complex financial derivatives, as well as support and enhance existing systems in that domain.
Essential Duties and Responsibilities:
To perform this job successfully, an individual must be able to perform each essential duty satisfactorily.
- Implement models for pricing and risk management of complex financial derivatives, working closely with others on the team and outside of the department.
- Develop high-performance numerical algorithms, conforming to the high reliability and availability standards of the organization
- Review implementation of complex models and algorithms focusing on requirement verification and code quality
- Write and review documentation for the implemented models and code libraries
- Implement standards, processes, and tools for numerical library testing and code quality controls
- Implement standards, processes and tools for code, documentation and release management
- Provide production support for the numerical libraries and risk management systems
- Supervise quantitative development staff as assigned
The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.
- Software and Programming:
- Extensive programming background is required, with an emphasis on numerical algorithms and scientific computing
- Demonstrated experience developing and maintaining enterprise level systems
- Proven leadership in delivering major functionality in a collaborative software development setting
- Proven technical writing skills
- Mathematics and Quantitative Finance exposure:
- Probability Theory and Stochastic processes
- Linear Algebra
- Univariate and multivariate statistics and econometrics
- Derivative pricing models (desired)
- Working command of SQL is desired.
- Experience with numerical libraries is desired
- Experience in Python, R or MATLAB
- Experience with collaborative development frameworks is required, Agile/SCRUM preferred
Education and/or Experience:
- Master’s degree or equivalent is required in a quantitative field; most likely in some branch of quantitative finance, computer science, mathematics, or engineering
- 5+ years of experience
Certificates or Licenses: