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ID #44699549
State New York
City Newyorkcity
Job type Contract
Salary USD Depends on Experience Depends on Experience
Source Mindlance
Showed 2022-08-08
Date 2022-08-02
Deadline 2022-10-01
Category Et cetera
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Quant/C Developer

New York, Newyorkcity, 10013 Newyorkcity USA

Vacancy expired!

Quantitative Developer

Location:

New York City/ 10013

Duration: 5 months (either long term or temp to hire)

Master’s degree or PHD in quant

expertise in coding C and PythonRisk Management full model development cycle,

Description: A senior quantitative developer is needed to assist with continuing integration of Front Office Pricing models in CCR exposure calculations. The role’s focal point will be the further development of Citi’s CCR framework by supporting the inclusion of new products and the associated pricing models, across asset classes such as commodities.Key Responsibilities:

• Contribute to the integration of new derivatives products into the counterparty credit risk framework;• Conduct data analysis• Develop model and integration code (C/python) based on provided specifications• Conduct performance testing of new products;• Prepare model documentations to high standards;• Support model risk management process, i.e. provide ad hoc analysis to justify modelling assumptions and/or test results;

Qualifications and Competencies:• Master’s degree/PhD in a quantitative discipline

• 5+ years’ experience in a quantitative role with sell side institutions• Experience with developing and testing libraries in C and Python on Linux and Windows platforms• Good understanding of financial products and markets• Experience working with technology teams on model implementation• Strong written, verbal, and interpersonal communication skills• Works well under pressure and in tight deadlines• Experience in the whole model development cycle, i.e. mathematical proposal, prototyping, documentation, validation, approvals from senior stakeholders, release to production, would be a plus.

“Mindlance is an Equal Opportunity Employer and does not discriminate in employment on the basis of – Minority/Gender/Disability/Religion/LGBTQI/Age/Veterans.”

Vacancy expired!

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