Construct analytics to price financial assets using closed-forms, Monte Carlo methods, lattices or PDEs, including model parameter calibration. Read white papers that are widely followed by peers and competitors within the financial industry. Read academic papers that introduce cutting-edge techniques for innovative financial models. Compare all candidate models and propose one quantitative model that can best align with the goals of the organization. Develop methodologies and systems for financial risk estimation across many asset classes. Develop methodologies and systems to use inside a market risk system to compute value-at-risk, perform stress tests and risk decomposition. Ensure that calculations meet market standard. Implement these models and analytics in industrial-strength software systems. Build prototype model in Python. Incorporate prototype model with various features requested by clients. Test model robustness under different scenarios. Migrate prototype model into production code in C#. Document models and analytics in internal or external whitepapers, and trade journals. Create and explain complex financial models and analysis in a way that can be easily understood by prospective clients. Write and detail these financial models in documents for both internal use and for external audiences like whitepapers or detailed reports on a specific topic. Maintain and update the documentation to reflect recently added new features for the financial models to ensure they are accurate and up-to-date. Interact with product management to understand their specific requirements. Participate in daily meetings to communicate with technical product managers to get a clear idea of their specific requirements and goals. Propose engineering solutions to meet the needs of the products being created. Assess the feasibility within organization's software application and tailor engineering work to align with the goals of both sides. Help client services diagnose issues and apply financial engineering skills to find solutions. Diagnose issues raised by internal or external clients. Propose fix and implement fix in production or UAT.
Telecommuting is permitted.
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