Quantitative Financial Engineer

SS&C•Windsor, CT

1d•Remote

About The Position

The Quantitative Financial Engineer is responsible for applying mathematical and statistical techniques to study, measure, and evaluate financial instruments, financial markets and the behavior of market participants. This role typically revolves around the design, development, construction of mathematical models and analytical approaches designed to provide insight into complex financial systems.

Requirements

Knowledge of cross asset class financial instruments modeling and pricing (equity/FX options, bonds, futures, interest-rate swaps, CDS, etc.).
Strong understanding of risk management techniques, VaR approaches (Historical, Monte-Carlo) and sensitivity measures (option greeks, DV01, PVO1, etc.).
Basic understanding of trading strategies across all major asset classes and hedge fund investment styles.
Strong analytic skills and logical reasoning/problem solving.
Strong understanding of SQL or Python (Pandas), Excel macros and Bloomberg.
Strong understanding of modern programming language and database management concepts.
Client-facing experience with excellent written and verbal communication skills.
Bachelor’s degree or equivalent in Mathematics, Applied Science, Business, Finance, Economics or related field plus 2 years of experience in an engineering role. Alternatively, will accept a Master’s degree or equivalent in Mathematics, Applied Science, Business, Finance, Economics or related field.

Responsibilities

Provide support to clients (mainly Hedge Fund Risk Managers) regarding the content and the production of risk reports: answer queries on risk exposures, measures, scenarios, Value-At-Risk calculations and models used within the risk system.
Create ad hoc SQL and Python scripts to extract data out of the risk system to facilitate investigations.
Work together closely with the risk development team to test and validate new pricing models and enhancements.
Reconcile client expectations with the numbers reported by our system using alternate systems such as Bloomberg and/or in house Excel add in libraries.
Coordinate and actively participate in the setting up of new clients on the risk platform and configuring the risk engine to conduct the set of analyses as required.
Identify and address any ad hoc issues regarding the production of risk reports and escalating to the appropriate team.
Provide input and feedback for the continuous enhancement of the system.