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Cross-Margin Quantitative Model Developer (Python)
70 - 95$
Описание вакансии
Текст:
TL;DR
Cross-Margin Quantitative Model Developer (Python/SQL): Developing and enhancing counterparty credit risk models for cross-margin methodologies across equity swaps, metals, energy derivatives, and convertible bonds with an accent on stochastic modeling, capital markets models, and quantitative library development. Focus on deriving and validating analytical formulas, correcting legacy model gaps, building Python prototypes, and integrating validated models into production.
Location: Charlotte, NC, United States; hybrid work required; remote work is not an option.
Pay rate: $70–95 per hour on W-2 only; no C2C.
Company
provides staffing and project-based professional services.
What you will do
- Develop, enhance, and maintain counterparty credit risk models supporting cross-margin methodologies.
- Derive analytical formulas, validate assumptions, and identify gaps or inconsistencies in existing implementations.
- Modernize legacy models using stochastic processes and capital markets modeling techniques.
- Build and integrate Python-based quantitative libraries for model development and validation.
- Create prototype models and collaborate with technology teams to transition them into production.
- Work with model owners, business partners, technology teams, auditors, and project managers to define specifications, documentation, and timely model enhancements.
Requirements
- Expert-level Python skills for building, structuring, and maintaining quantitative libraries.
- Strong SQL expertise for querying and manipulating large datasets.
- Strong numerical skills with experience in stochastic modeling, probability, statistics, and capital markets models.
- Understanding of cross-margining in prime brokerage or derivatives clearing.
- Ability to derive mathematical formulas programmatically and identify or correct model gaps, inconsistencies, and legacy issues.
- Experience using AI-assisted coding tools such as Copilot.
Nice to have
- Experience in prime brokerage or margin methodology design.
- Experience with counterparty credit exposure models such as PFE, EE, or EAD.
- Familiarity with equities, commodities, energy, and structured derivative products.
Culture & Benefits
- Hybrid work arrangement in Charlotte, NC.
- W-2 employment for a 12+ month engagement.
- Opportunity to provide coaching and technical guidance to junior team members.
- Work on high-impact cross-margin exposure requests within the CIB business.