Lead Software Engineer - QRM
Salary: Open + bonus
Location: Chicago, IL
Hybrid: 3 days onsite, 2 days remote
*We are unable to provide sponsorship for this role*
Qualifications
Master's degree is required in a quantitative field 6+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing. Proficiency in Python for prototyping and test automation. Experience with numerical libraries and/or scientific computing. Experience with automated quality assurance frameworks (eg, Junit, TestNG, Pytest, etc.) for model testing. Experience in relational database technology and SQL query language. Good understanding of markets and financial derivatives in equities, interest rates, and commodity products. Strong understanding of the following Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra) Econometrics, data analysis (eg, time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques Numerical methods and optimization; Monte Carlo simulation and finite difference techniques Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
Responsibilities
Support the development of quantitative models for pricing, risk management, and stress testing of financial products and derivatives. Review model documentation including whitepapers and implementation notes. Design, implement, and maintain model prototypes and model testing tools using best industry practices and innovations. Review and conduct comprehensive quality assurance testing on the implementation of models and algorithms for both QRM Library and prototypes focusing on requirement verification, coding, and testing quality, which involves the constructions of test cases, automation of model unit testing and creations of reference models if needed. Present test plans and test results to, and obtain feedback from peers, model validators, and model developers. Participate in code reviews for QRM Library, model prototypes, and Model Development Tool. Contribute to the model release testing including margin impact analysis and baseline support and troubleshooting during model library integration with production applications. Contribute to the development and testing of Model Development Tool including databases, ETLs, services, orchestration, and CI/CD pipelines. Support large-scale model backtesting using historical data, including system configuration, execution and analysis of results.
