Lead Associate Principal, Quantitative Risk Management
Chicago - 125 S Franklin, United States
R
USD 128K-230K Mid-level Full Time
Tasks
- Communicate model analysis and collaborate across cross functional departments
- Conduct quality assurance testing for model library with automated unit testing
- Design implement and maintain model prototypes and testing tools
- Develop risk models for pricing margin and stress testing
- Implement new models into model library
- Perform model code reviews and model release testing
- Perform model performance testing and portfolio back testing
- Provide production support and troubleshoot model system and data issues
- Provide quantitative analysis for risk managers on pricing margin and risk calculations
- Review model implementation for requirement verification coding and testing quality
Perks/Benefits
- 401k employer match
- Generous paid time off
- Health benefits (medical, dental, vision)
- Hybrid work environment
- Parental leave
- Remote work up to 2 days per week
- Student loan repayment assistance
- Technology stipend
- Tuition reimbursement
Skills/Tech-stack
Backtesting | Copula | Data Modeling | Design Patterns | Expected shortfall | Finite difference | GARCH | Linear Algebra | MATLAB | Machine Learning | Monte Carlo | Monte Carlo Simulation | Numerical Methods | Object-Oriented | Object-oriented design | Optimization | Probability theory | Python | R | SQL | Scenario Analysis | Series analysis | Statistics | Stochastic Calculus | Stress Testing | Time Series | Time Series Analysis | Value-at-Risk
Education
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