Associate Data Scientist - Optimization
Core
Develop and refine mathematical optimization models for collateral management, risk, and capital efficiency in equity and fixed income financing.
Role type
Associate Data Scientist (Optimization)
Builds
Mathematical models and optimization algorithms for collateral allocation and capital efficiency.
Domain
Quantitative Finance / Capital Markets
Deliverable
production ML models | product features
Required skills
Mathematical optimization, linear/quadratic programming, constraint modeling, Python programming, optimization libraries (Pyomo, Gurobi, CPLEX), database proficiency (PostgreSQL, SQL Server), Linux environments, Docker, cloud platforms (AWS), version control, CI/CD pipelines.
Preferred skills
Expert-level Python, machine learning methods, finance tools (Bloomberg, FactSet, Thomson Reuters), REST API integration.
Technologies
Pyomo, Gurobi, CPLEX, PostgreSQL, SQL Server, AWS, Docker, Linux, CI/CD, REST APIs.
Responsibilities
Collaborate with Trading Desks to assess collateral optimization requirements and translate them into actionable models. Design and implement multi-objective optimization algorithms addressing funding costs, liquidity constraints, and regulatory demands. Improve and extend the Pyomo-based optimization framework for collateral allocation. Optimize codebase and establish robust ETL pipelines for data quality. Explore and develop machine learning methods for predictive collateral management. Convey technical concepts to non-technical stakeholders and present findings to senior management. Integrate REST APIs from vendors and triparty services. Interpret results and incorporate feedback for ongoing enhancements of collateral optimization models.
Seniority
Associate (0-3 years implied by 'Associate' title, but requires 3+ years experience)