Quantitative Developer
at SkillStorm

Date Posted: 3/7/2017

Job Description

Quantitative Developer 
Our Business 
Counterparty Credit Risk Analytics (CCRA) is part of the Global Risk Analytics (GRA) Organization. The team is responsible for the development and monitoring of firm wide Counterparty Credit Risk exposure models and tools. CCRA Model Performance (CCRA-MP) is responsible within CCRA for the ongoing monitoring and review processes to assess model usage, model accuracy and the overall performance of the CCR exposure platform. EAD Backtesting is a core element of this monitoring framework which is run across all CCR models each quarter. 
Overview: 
This is a Quantitative Developer position. As a member of CCRA Model Performance team you will: 
•    Develop technology solutions for Counterparty Credit Risk model performance and backtesting. 
•    Implement solutions applying both qualitative and quantitative aspects of financial mathematics and risk management 
•    Gain in-depth experience of implementing modeling techniques and quantification their performance 
Responsibilities: 
•    Contribute in building the new backtesting framework, which is based on Monte Carlo simulations and include a range of statistical tests. 
•    Help integrate new models into backtesting framework. 
•    Execute quarterly EAD portfolio backtesting – using Monte Carlo simulations on Python and Java based platform. 
•    Remediate any data quality issues, by working with corresponding tech teams. 
•    Execute and analyze results of statistical test on simulations, to assess model performance. 
Requirements: 
The applicant should possess a combination of: 
•    Bachelor’s or Masters degree in Computer Science, Engineering, Mathematics, Statistics or related field. 
•    At least 2 years of experience related to Monte-Carlo-simulation of financial models and a good understanding. 
•    A good understanding of OTC derivative products and simulation process. 
•    5 - 8 years or experience working on large scale and complex projects with a team. 
•    At least 3 years of experience in Python. 
•    Strong fundamentals and understanding of object oriented programming. 
•    Exceptional troubleshooting and debugging skills. 
Desirable: 
•    Prior experience with OTC derivative products and the associated counterparty credit risk 
•    Prior experience of implementing risk model backtesting framework. 
Location 
•    New York

Job Snapshot

About Us

SkillStorm is one of the nation’s fastest-growing I.T. Services Company. We have been providing technology consulting, outsourcing and staffing solutions since 2002. SkillStorm can provide you with the right tools to ensure you have the best technology team in place to fuel your organization’s continued success. SkillStorm works with scores of fine companies, including many that rank among the elite Fortune 500 and has been setting the standard for customer service in the industry since inception.

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