Job Duties:
- Work as a Quantitative strategist to build, enhance and analyze mathematical models designed to compute various liquidity and risk metrics.
- Design and build mathematical models that attribute spot metrics and project future requirement, produce quantitative analytics on historical metrics data.
- Build quantitative tools to explain and perform scenario analyses on various liquidity metrics.
- Write model documents and execute model validation process in accordance with firm policy for quantitative models.
- Collaborate with non-engineers to explain model behavior.
Qualifications:
- Bachelor's degree minimum, Masters or PHD preferred
- Strong analytical skills to perform complex functional and technical analyses
- Strong communication skills
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Relevant Prior experience:
- Developing mathematical models in one of the following: Python, C++ or Java
- Developing financial pricing models in any asset class.
- Maintaining a production code base and daily production processes.
- Preparing and submitting technical documents to support the validation of mathematical models.
- Working with techniques of optimization, statistical analysis, including parameter estimation
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