Quantitative Developer

Milliman•Chicago, IL

12h•Hybrid

About The Position

The Department The Quantitative Development group, within Milliman’s Financial Risk Management Practice (“FRM”), focuses on capital markets modeling, market-consistent valuation of assets and liabilities, quantitative risk analytics, and simulation analysis of risk management strategies. Systems developed by this group support trading functions within active hedge programs, and serve as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance. The Role Quantitative developers in FRM develop capital markets models (with applications including market-consistent valuation of assets and liabilities, quantitative risk analytics, and simulation analysis of risk management strategies), and implement as modules appropriate programming languages (e.g. C++ /C# /Python / Excel VBA). These modules support trading functions within active hedge programs, and serve as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance. Specific responsibilities include: Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance Implementing derivative models as VBA, C++, and C# modules Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes Calibration of capital markets models to market prices and historical capital markets data Developing trading strategies and performing historical regression tests

Requirements

C++/C#/Java experience
Demonstrated knowledge in quantitative finance.
Degree/Degree field: Masters in math, physics, engineering, computer science or quantitative finance
Specific Credentials: progress towards CFA/FRM or similar
Years industry experience: No requirement
Years functional experience :1
A minimum of three months of relevant work experience (inclusive of internships) is required.
Good communication skills, both written and verbal
Ability to work in a fast-paced environment where the client is always our first priority.
Proven record of reliability and dedication to high quality work
Sharp critical thinking skills, sound judgment, and decision-making ability.
Both the ability and willingness to clearly articulate your ideas.
Strong written and verbal communication skills
Ability to work both collaboratively and independently.
A results-oriented work ethic
The ability to work independently and in a team environment.

Nice To Haves

Obtained an advanced quantitative academic degree, preferably in math, physics, or quantitative finance.
Make successful progress toward CFA and/or FRM designations.
Experience carrying out quantitative financial analysis, preferably based on portfolio and option valuation theories.
Experience with stochastic modeling exercises including use of Monte Carlo techniques.
Demonstrated proficiency in computer programming languages including C++/C#/Java, and has an appreciation of object-oriented software design.
Demonstrated strong communication skills, capacity for leadership, and creative problem solving.

Responsibilities

Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance
Implementing derivative models as VBA, C++, and C# modules
Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes
Calibration of capital markets models to market prices and historical capital markets data
Developing trading strategies and performing historical regression tests

Benefits

Medical, Dental and Vision – Coverage for employees, dependents, and domestic partners.
Employee Assistance Program (EAP) – Confidential support for personal and work-related challenges.
401(k) Plan – Includes a company matching program and profit-sharing contributions.
Discretionary Bonus Program – Recognizing employee contributions.
Flexible Spending Accounts (FSA) – Pre-tax savings for dependent care, transportation, and eligible medical expenses.
Paid Time Off (PTO) – Begins accruing on the first day of work. Full-time employees accrue 15 days per year, and employees working less than full-time accrue PTO on a prorated basis.
Holidays – A minimum of 10 observed holidays per year.
Family Building Benefits – Includes adoption and fertility assistance.
Paid Parental Leave – Up to 12 weeks of paid leave for employees who meet eligibility criteria.
Life Insurance & AD&D – 100% of premiums covered by Milliman.
Short-Term and Long-Term Disability – Fully paid by Milliman.