WORK TO BE PERFORMED:
Working within the Model Validation function, will be involved in the following:
Maintain and service the Model Validation Group Servers.
Design and maintain systems for the manipulation and visualizations of data to support model backtesting.
Design, implement, and maintain data storage and retrieval methods for high-volume financial data.
Create documentation for new code and test cases.
Manage GIT repositories for the model validation group.
Implement and manage model change impact tests and model stress tests.
Recreate production analysis in test environments
SKILL AND EXPERIENCE REQUIRED:
Scientific programming and strong mathematical background
Must be able to evidence proficiency in technical or scientific writing
Must be able display evidence of proficiency in clean code software development that is applied to develop risk management solutions
Must have excellent verbal and written communication skills
At least 3 years of production-level programming background preferred
Java or C#/.Net (at least 3 years), C++, SQL, VisualStudio, IntelliJ/Eclipse (or SpringSource); R language optional Software design: effective application of design patterns, expertise in object-oriented design
Master’s degree required; PhD preferred in a highly quantitative subject
Academic or working experience in numerical algorithms, statistical techniques, and financial models preferred.
Knowledge and Experience with financial data and large financial data sets.
Knowledge of commonly traded derivatives and derivatives pricing theory desired