Quantitative Developer ( Python / C++ )

Company: Quantitative Systems
Location: New York, New York, United States
Type: Full-time
Posted: 06.FEB.2021
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Summary

Senior Quantitative Developer (Python / C++) The successful candidate will be a key member of the Core Analytics Implementation and Execut...

Description

Senior Quantitative Developer (Python / C++)


The successful candidate will be a key member of the Core Analytics Implementation and Execution team within Wholesale Credit Quantitative Research. The team focuses on the design, implementation, delivery and support of models for the firms Wholesale Credit Stress (CCAR, ICAAP, Risk Appetite) and Loan loss reserves models. In particular, for this role, the team focuses on the development, delivery and maintenance of high performance analytics frameworks and libraries. The successful candidate will work on the evolution of our frameworks and related tools to enhance ease of integration of pricing and forecast models, improve flexibility and extendibility of the framework as well as improve scalability and performance. This will require the candidates to work with other more experienced Wholesale Credit model developers and business partners and enhance their quantitative as well as business skills.

Core Responsibilities:

  • The successful candidate will work on the design and implementation state of the art forecast and valuation models in Wholesale Credit. She/He will be responsible for development, enhancement and support of our valuation and forecasting modeling frameworks and their delivery via our library. Focus will be on the end-to-end analytics infrastructure aspects.
  • Work with technology and the business on the implementation and integration of models into the firms delivery platforms
  • This position will require the candidate to work with other experienced modelers and business partners to enhance quantitative as well as business skills.


Essential Skills and Qualifications

  • Ph.D or MS in a numerate subject (e.g. Applied Math, Physics, Computational Biology, Engineering, Math Finance, etc)
  • Excellent quantitative programming skills in Python; C++ a plus
  • Strong quantitative problem solving skills and experience applying them to model implementations
  • Focus on functional and numerical testing through entire model development software cycle
  • Must be self-motivated, pro-active, responsible and driven to deliver
  • Proficient working in a Linux/UNIX environment


Desirable Skills:

  • Experience implementing analytics frameworks in finance
  • Experience with improving performance of Python applications and performance profiling
  • Experience with parallel computing and/or GPU
  • Experience with Subversion, automated build/test systems, code coverage, unit testing and release processes
  • Experience implementing, integrating and deploying financial models end-to-end
  • Knowledge of Wholesale Credit, CCAR, Allowance (IFRS 9/CECL), Basel II/III regulatory capital
  • Proven ability to develop collaborative relationships with key internal partners to achieve objectives and prioritizations


Desirable Skills

  • Experience implementing analytics frameworks in finance
  • Experience with improving performance of Python applications and performance profiling
  • Experience with parallel computing and/or GPU
  • Experience with Subversion, automated build/test systems, code coverage, unit testing and release processes
  • Experience implementing, integrating and deploying financial models end-to-end
  • Knowledge of Wholesale Credit, CCAR, Allowance (IFRS 9/CECL), Basel II/III regulatory capital
  • Proven ability to develop collaborative relationships with key internal partners to achieve objectives and prioritizations

 
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