Quantitative Developer

Software Guidance & Assistance, Inc., (SGA), is searching for a Quantitative Developer for a CONTRACT assignment with one of our premier Financial clients in New York, NY. Responsibilities :

• A senior quantitative developer is needed to assist with continuing integration of Front Office Pricing models in CCR exposure calculations.
• The role's focal point will be the further development of the firm's CCR framework by supporting the inclusion of new products and the associated pricing models, across asset classes such as commodities.
• Contribute to the integration of new derivatives products into the counterparty credit risk framework;
• Conduct data analysis
• Develop model and integration code (C/python) based on provided specifications
• Conduct performance testing of new products;
• Prepare model documentations to high standards;
• Support model risk management process, i.e. provide ad hoc analysis to justify modelling assumptions and/or test results;

• Master's degree/PhD in a quantitative discipline
• 5+ year's experience in a quantitative role with sell side institutions
• Experience with developing and testing libraries in C and Python on Linux and Windows platforms
• Good understanding of financial products and markets
• Experience working with technology teams on model implementation
• Strong written, verbal, and interpersonal communication skills
• Works well under pressure and in tight deadlines

• Experience in the whole model development cycle, i.e. mathematical proposal, prototyping, documentation, validation, approvals from senior stakeholders, release to production, would be a plus.