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Application Architect V

SkillStorm is seeking a Python Developer for our client in Chicago, Illinois. Candidates must be able to work on SkillStorm's W2; not a C2C position. EOE, including disability/vets.

Description:

  • Requires solid quantitative background and technical skills
  • The job involves, within Market Risk Analytics, development of tools, quantitative analysis and support of ongoing monitoring processes for performance assessment of the VaR and margin models used in prime brokerage and OTC clearing business. The ongoing monitoring processes include backtesting and benchmarking of margin charges against P&L and VaR respectively. The model performance assessment requires analysis and explanation of backtesting and benchmarking exceptions. The effective and efficient analysis process involves development of tools for automating the drill-down procedures; therefore, the role requires a combination of analytical and technical skills

Responsibilities:

  • Review current methodology to enhance margin adequacy.
  • Prototype models for technology team’s implementation and test technology team’s implementation to ensure margin accuracy.
  • Develop processes to perform benchmarking and backtesting on a daily basis. Identify, analyze, explain any overages.
  • Perform daily benchmarking and backtesting of margin and VaR models to monitor model performance and analyze breaches in detail.
  • Support ad-hoc analysis for model documentations/submissions and aid in addressing required action items raised by MRM.
  • Candidate Requirements (Including Years): Required Skills:
  • Background in Mathematics, Physics, or Finance
  • Programming in Python, VBA, R, or C++, with emphasis on Python.
  • Solid analytical and technical writing skills
  • Desired:
  • Knowledge of probability theory, statistics, derivatives products and their pricing
  • Understanding of risk/margin methodologies and risk management practices

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Job Application for
Application Architect V

All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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