Quantitative Developer, Market Risk (Java and R)

  •  

Weehawken, NJ

Industry: IT Consulting/Services

  •  

8 - 10 years

Posted 229 days ago

  by    Radhika Arora

This job is no longer available.

Our client is a global financial services company and investment bank.

They are currently looking for a QuantitativeDeveloperwith strong Java skills and a background in Market Risk. The role is based in Weehawken, NJ.

Role:

·        Take on challenges within default risk charge calculations

·        Take ownership of a Monte-Carlo simulation model (in R) and integrate it with the existing Market Risk analytics

·        Develop distributed computing routines, implementing an API to calculate DRC

Profile:

·        Bachelor’s degree in Computer Science or Mathematics

·        8+ years’ experience in quantitative model development

·        Strong understanding of Market Risk VaR models

·        Expert Core Java skills

·        Strong understanding of distributed computing models

·        Good skills in reading and writing code in R

·        Understanding of Issuer Risk and JTD is a strong plus

·        Strong SQL skills