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Python Coding Stress Testing Engineer
(Jobs in New York, NY)
 
Requirement id 91033
Job title Engineer
Job location in New York, NY
Skills required Python, Coding, Linux Scripting, Stress Testing
Open Date 09-Apr-2019
Close Date
Job type Contract
Duration 8 Months
Compensation DOE
Status requirement not found
Job interview type Face to Face interview
   Email Recruiter: coolsoft
Job Description Engineer: Python, Coding, Linux Scripting, Stress Testing

Candidate must be your W2 Employee.
We should submitt only GC, GC EAD, L2 EAD, H4 EAD and Citizen.



Job Description :

Top 3 Needs:

-Masters Degree in Financial Engineering or similar field (math, physics, computer sci, etc)

-Python Coding Experience.

-Understanding of Derivatives(swaps, forwards, futures,etc), pricing models, and risk(stress, var).

Responsible for prototype development of risk methodologies
Established a quantitative framework for assessing the risk of Derivatives portfolios used to compute margin requirements for various portfolios
Decomposed margin requirements into discrete components including spread, idiosyncratic, liquidity, interest rate and wrong way risk.
Established a stress testing framework used to size overall financial safeguard package Established a backtesting framework used to test the adequacy of risk models under a broad set of market conditions and a comprehensive set of client portfolios and hypothetical portfolios.
Responsible for developing and improving pricing methodologies for new and existing products by following industry standards and by achieving a broad consensus across member firms and end-clients.
Led implementation of quantitative pricing libraries which are used to build automated pricing systems by IT teams.
Responsible for preparation and quality assessment of all historical time-series data used by the risk-models.
Established operational procedures used by analysts for performing daily pricing, review, and addressing client inquiries or price challenges.
Responsible for implementation of the Derivatives Risk Engine used to measure risk of member portfolios.
Performed a complete overhaul of Derivatives pricing and valuation process by fully automating all the manual steps which reduced operational risk, freed up resources and improved delivery time.
Responsible for implementation of pricing methodologies of volatility future contracts using python, under the Heston model
Created theoretical historical time-series data for volatility future contracts from 1990 - 2013
Set up and maintained trading system and configuration files under Linux
Coded a real-time plotting program to identify buy/sell signals and volumes for Eurodollar futures
Responsible for developing a program to automatically generate daily post trade analysis report

Essentially, this candidate will be going through many data bases, writing code to pull the data, and understanding where to pull the data from. They will be pulling data and moving it to different tables.This candidate needs to understand products and how theyre priced.
 
Call 502-379-4456 Ext 100 for more details. Please provide Requirement id: 91033 while calling.
 
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(Engineer: Python, Coding, Linux Scripting, Stress Testing in New York, NY)
     
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