Quantitative Developer

Quantitative Developer

The Quantitative Development group, within Milliman's Financial Risk Management Practice ("FRM"), focuses on capital markets modeling, market-consistent valuation of assets and liabilities, quantitative risk analytics, and simulation analysis of risk management strategies. Systems developed by this group support trading functions within active hedge programs, and serve as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance.

Quantitative developers in FRM develop capital markets models (with applications including market-consistent valuation of assets and liabilities, quantitative risk analytics, and simulation analysis of risk management strategies), and implement as modules appropriate programming languages (e.g. C++ / C# / Python / Excel VBA). These modules support trading functions within active hedge programs, and serve as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance.

Specific responsibilities include :

• Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance
• Implementing derivative models as VBA, C++, and C# modules
• Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes
• Calibration of capital markets models to market prices and historical capital markets data
• Developing trading strategies and performing historical regression tests

Job Knowledge Required :

Experience and Soft Skills Required :

Additional Knowledge and Skills to Build :

Compensation : The salary range for this role is $90,620 - $145,130, depending on a combination of factors, including, but not limited to, education, relevant work experience, qualifications, skills, certifications, location, etc.

Location : Candidates hired into this role will be required to work in-person in the Milliman office in Chicago, IL on a weekly basis, but flexible work arrangements will be considered.

Milliman Benefits : We offer a comprehensive benefits package designed to support employees' health, financial security, and well-being. Benefits include :

Equal Opportunity : All qualified applicants will receive consideration for employment, without regard to race, color, religion, sex, sexual orientation, national origin, disability, or status as a protected veteran.