Lead Associate Principal, Quantitative Risk Management
Core
Develop and maintain quantitative risk models for margin, clearing funds, and stress testing of equity derivatives, futures, and securities lending transactions.
Role type
Senior IC quantitative risk modeler (derivatives)
Builds
Production risk models, model libraries, and testing tools for clearing and settlement services
Domain
Financial services / Quantitative risk management / Derivatives
Deliverable
production ML models
Required skills
Financial mathematics (derivatives pricing, stochastic calculus), Econometrics (time series, GARCH, copula), Numerical methods (Monte Carlo, finite difference), Risk management (VaR, stress testing), Java programming, Python programming, SQL, Software design patterns, Automated QA frameworks
Preferred skills
Agile/SCRUM, Big Data/Cloud computing, High performance computing, FRM/CFA certification
Technologies
Java, Python, R, MATLAB, SQL, Git, Jenkins, Junit, TestNG, Selenium, NAG, Latex
Responsibilities
Develop models for pricing, margin risking, and stress testing; Design and implement model prototypes and testing tools; Perform model performance testing and back-testing; Conduct quality assurance testing and automation; Review model code and implementation quality; Support launch of new products; Provide quantitative analysis to risk managers
Seniority
Senior, hands-on IC
