Senior Quant Model Development Specialist

In this role, you will:

• Lead or participate in moderately complex initiatives and deliverables within Securities Quantitative Analytics
• Contribute to large-scale departmental planning
• Combine mathematical programming and market expertise to build and generate systematic strategies
• Review and analyze moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable factors
• Use quantitative and technological techniques to solve complex business problems
• Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
• Resolve moderately complex issues independently
• Lead team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
• Collaborate and consult with peers, colleagues, and mid-level managers to resolve issues and achieve goals
• Lead projects, teams, or serve as a mentor for less experienced staff
• Play an integral role to the trading floor

Required Qualifications:

• 4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Desired Qualifications:

• Partner with the trading desk in daily tasks such as model calibration and pricing/risk management issues and strategies
• Work in our quant library, contributing to our modeling efforts, and providing expertise on implementation issues
• Produce high quality model documents that satisfy model validation and regulatory requests
• Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.
• Participate in model development and deployment
• Testing and testing documentation
  • Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT
  • Checking the consistency and accuracy of quantitative models
• Testing tools and testing (partial) automation
  • Developing testing scripts and automation scripts, e.g., for the Quant testing framework
• Participation in issue resolution
  • Debugging case preparation (to produce isolated cases to demonstrate the issues) for the US Quants or the traders
  • Debug and conclude data issues/model input issues
• Produce high quality model documentation
• Participating in the creation, execution and development of Front Office test plans
• Participation in the creation, execution and development of model monitoring plans
• Writing code (in Python, C++ etc.) and refactoring code
• Actively participating and contributing in team discussions on project specific areas/assignments
• Maintaining proper documentation of all processes and keeping the code up to date
• Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts as requested by stakeholders
• Play an integral role to the trading floor

Job Expectations:

• A Masters or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc with exposure to stochastic calculus.
• 4+ years of experience in Securities Quantitative Analytics model development in any one asset class (FX,Rates,Equity,Commodity,CVA,Credit ) , or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
• Good verbal, written, presentation and interpersonal communication skills
• Hands-on experience in programming in, e.g., Python or C++
• Knowledge or experience in derivatives Quant models for, e.g., interest rate derivatives or commodities derivatives or equity or FX or Credit derivatives or XVA
• Ability to learn quickly and work collaboratively within a team in a dynamic and fast paced environment with multiple responsibilities but still following strict deadlines
• Good writing skills for technical/mathematical documents, e.g., LaTeX and other word processing programs