Sr Quantitative Developer

The Sr Quantitative Developer will focus on researching and prototyping risk models for newly issued Exchange-Traded Funds (ETFs) and extending the scope of Hybrid VaR as a benchmark for existing VaR methodology. This role also involves assisting with the NSCC MTM passthrough effort and facilitating communication with key stakeholders, including Market Risk and Risk Technology teams. The ideal candidate will have a strong background in financial market risk management, quantitative modeling, and experience with complex financial models.

• Risk Model Development:
  Research and prototype risk models for newly issued ETFs to enhance market risk management.
• VaR Methodology Enhancement:
  Extend the scope of Hybrid VaR to improve existing VaR models.
• NSCC MTM Passthrough Support:
  Assist with efforts related to the NSCC MTM passthrough process.
• Stakeholder Communication:
  Facilitate model specification discussions and maintain clear communication with internal teams, such as Market Risk and Risk Technology.
• Quantitative Modeling:
  Design, implement, and maintain complex financial models for market risk assessment and portfolio management.

• Experience:
  
  At least 5 years of experience in financial market risk management and quantitative modeling.
• Programming
  
  Skills:
  
  Proficiency in SQL is required; experience with high-level programming languages such as R, Python, and Matlab is a plus.
• Financial Knowledge:
  Strong understanding of equity markets, especially ETFs.
• Modeling Expertise:
  Hands-on experience developing and implementing complex financial models, particularly in the context of market risk management.
• Attention to Detail:
  Strong attention to detail and ability to work with complex datasets and models.
• Collaboration:
  
  Ability to work effectively in a team environment and communicate complex ideas to various stakeholders.

• Market
  
  Risk Management:
  
  Expertise in financial market risk management, particularly with equity markets and ETFs.
• Quantitative Modeling:
  Hands-on experience in developing and applying quantitative models.
• Programming
  
  Languages:
  
  Proficiency in SQL and experience with Python, R, or Matlab is highly valued.