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.
· 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
· 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