Quantitative Research Positions
Core
Research and develop derivatives margin models, including market stress calibration, historical backtesting, system design, and implementation for counterparty credit risk.
Role type
Senior quantitative research engineer (derivatives margin models)
Builds
Production margin models and credit risk management platforms
Domain
Financial services / Quantitative finance
Deliverable
production ML models | product features
Required skills
no-arbitrage pricing theory, stochastic calculus, probability theory, reduced-form intensity models, Monte Carlo simulation, continuous-time stochastic processes, C++, Python, CUDA, Valgrind, Intel VTune, Visual Studio Profiler, parallel computing, GPU computing
Preferred skills
N/A
Technologies
CUDA, Python, Visual Studio
Responsibilities
Research and develop derivatives margin models, engage with clients throughout the model development lifecycle, implement mathematical models for credit risk platforms, prepare detailed documentation and conduct thorough testing, act as subject-matter expert in regulatory discussions, manage the full model development lifecycle including source code control and deployment
Seniority
Senior, hands-on IC