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Quantitative Risk Model Developer
Quantitative Risk Model DeveloperSyntricate Technologies • Tampa, FL, United States
Quantitative Risk Model Developer

Quantitative Risk Model Developer

Syntricate Technologies • Tampa, FL, United States
[job_card.30_days_ago]
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  • [job_card.full_time]
[job_card.job_description]

Quantitative Risk Model Developer

Tampa, FL (3 days onsite - Hybrid)

12+ Months

Web Cam Interview

$70 / Hr on W2

Must Haves :

  • Master's Degree with 2 years of working experience or Bachelor's Degree with 4 years of working experience
  • Proficiency in programming language (e.g. Python, R, C++, shell scripts) is required
  • Solid knowledge in applied mathematics, statistics, numerical methods.
  • Experience in analyzing large and complex datasets.
  • Experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes.
  • Experience in quantitative finance or a related field preferred
  • Proficient in Microsoft Office with an emphasis on MS Excel
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Self-motivated and detail oriented
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

Plusses :

  • Ph.D. degree in quantitative field (e.g. quantitative finance, finance engineering, economics, computer science, statistics, mathematics, engineering, etc.) with research experience in modeling and numerical simulation.
  • General Notes :

  • Solid programming background in Python
  • Statistics and numerical experience, hypothetical testing, and should be able to write / run code independently
  • Able to handle root cause analysis and work independently
  • Responsibilities

  • Develops, enhances, and validates the methods of measuring and analyzing risk and addresses deficiency of current counterparty credit risk models.
  • Performs rigorous ongoing model performance tests for all counterparty credit risk model production regularly by means of backtesting, impact analysis, statistical analysis, etc.
  • Enhances BAU backtesting to meet the regulatory guidelines.
  • Prepares detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
  • Present key findings in model development and enhancement to senior management and supervisory authorities.
  • Support trading book credit risk management : calculate portfolio level counterparty exposure such as EPE, EAD, CVA, used for both internal risk management, regulatory capital calculation and stress testing.
  • Develops unified library package to automate the ongoing model performance monitoring and create related unit tests for coding quality assessment.
  • Develops tutorials and documentation for widespread library usage among quantitative risk team members and risk managers.
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