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Quantitative Researcher – Credit and Liquidity Risk

FactSet | София

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dev.bg

Тази обява е публикувана само в DEV.BG Jobs: Преглеждаме значимите български сайтове за обяви за работа (с поне 400 IT обяви за работа). Тази обява не е публикувана в нито един от тях.
27 апр.
Обявата е публикувана в следните минибордове
  • Sofia, Bulgaria
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    The Risk Quantitative Research and Development (Risk QRD) team is responsible for researching and developing FactSet’s inhouse factor based multi-asset class risk models. The team consists of self-motivated, articulate and highly skilled professionals. A unique blend of people with strong quantitative and technical skills.

    Our team is the source of both new and existing inhouse risk models which means what we build has downstream consequences for many other systems and teams, including but not limited to: engineering, product development, model validation, strategy, and sales.

    This is an excellent opportunity to enter an organically growing team with many goals and responsibilities. The best candidate for this role will be eager to learn.

    As a quantitative researcher on this team you will have the following responsibilities:

    • Researching and developing advanced quantitative models for pricing the credit and liquidation costs of financial assets. The models will be used as part of the risk management and portfolio construction platform that is a part of FactSet ecosystem.
    • Collaborate with global teams of quantitative researchers, software engineers and product developers to better understand business requirements and deliver end product to the clients.
    • Design and prototype the respective quantitative solution using C++ and Python.
    • Implement and test the researched quantitative credit and liquidity models using FactSet data.
    • Write whitepapers illustrating the results from the research.

    Requirements:

    • Advanced Degree in Science, Technology, Engineering or Mathematics
    • Strong knowledge of probability theory, statistics, linear algebra, and numerical methods
    • Good programming skills using C++ and good understanding of object-oriented programming
    • Experience working with large data sets and statistical data analysis
    • Analytical thinking and problem solving
    • Natural curiosity and creativity
    • Agile, action-oriented, quick thinker: you can deliver preliminary results fast by making simplifying assumptions, and take time to dive deeper if our business priorities allow and if the problem demands more scientific rigor

    Highly Desired:

    • Experience with high level programming languages such as Python, R or Matlab
    • Experience in the space of equity or fixed income modeling
    • Experience with one of the following: time series analysis, stochastic processes and risk measurement or modern portfolio theory
    • Algorithms development, optimizing and scaling up time consuming code
    • Interest in financial markets
    • University or high school math contests

    We offer:

    • A place in the team developing our own world-class risk solutions where everyone’s contributions to the team and product success are visible and the product, passion and hard work is recognized and valued.
    • A friendly business casual atmosphere in a workplace that consists of diverse talents and working environment driven by challenges, recognition, and rewards. Nice office location and compensation package as well as flexible working hours are also included.

    Apply today and become part of the successful FactSet Risk Quantitative Research and Development Team!

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