Quantitative Risk Developer

Quantitative Risk Developer
LMR Partners LLC — New York, NY

Quantitative Risk Developer at LMR Partners LLC (New York, NY) Responsible for liaising with Risk Managers and Portfolio Managers in deriving, investigating, calculating, and automating the measuring of various factors detailing the exposures the firm has to financial markets and world events. Day-to-day job duties include: * Investigate, derive and implement financial models from both private research, public papers, and proprietary research and knowledge intrinsic to the company; * Derive and implement proprietary risk models; * Source and integrate third parties factor models in the company risk systems; * Develop and integrate custom factor models; * Develop Profit and Losses attributions based on factor models; * Develop performance improvements for the retrieval of factors data to make the data requests quick; * Assist in data migration for factor models from SQL to Snowflake and orchestrate the Snowflake infrastructure to suit the companys needs; * Work on portfolio optimization tools with various objective functions and constraints to answer a specific need within the risk group; * Derive risk data calculations from the raw factor models data and integrate them into the companys risk management systems; * Build application programming interfaces (APIs) to expose this data to other business areas within the company and integrate it in existing and new dashboards; * Build and store proprietary model information repositories for deriving long term time series based calculations; * Build pricing for credit swaptions and credit tranches to support the firms credit business; * Develop, integrate and store risk scenarios for Equities, FX and Merger & Arbitrage portfolios; * Enhance the companys live data screen for Merger & Arbitrage deals and their underlying analytics; * Calculate and integrate performance analytics for portfolios; * Build core constituents of the companys risk limits framework and adding new components to integrate new limits types; * Support and maintain all of the above; and * Mentor, review the work of staff, and ensure they build their projects pipeline. Requires a Masters degree in Computer Science, Mathematics, Finance, a related field or foreign equivalent, plus 6 years of progressively responsible experience as a Quantitative Developer or equivalent position in finance performing tasks that require analytical skills and understanding of financial concepts and data. Experience must include: * 6 years of experience in developing technology solutions in finance for various types of asset classes; * 6 years of experience using programming languages Python and Java; * 6 years of experience acting as a liaison between technical and non-technical parties, including speaking with non-technical stakeholders to translate their business requirements into technical specifications, defining project timelines, requirements, and resource needs, and implementing those solutions; * 3 years of experience in a Risk Technology team, working on portfolio analytics, scenario computation, factor model integration, value at risk computation and generating risk analysis for different asset classes; * 3 years of experience analyzing and improving query performance through re-indexing, table redesign, and migrating workloads from SQL server to Snowflake and ClickHouse; * 3 years of experience analyzing high-cost queries in Snowflake and implementing strategies to optimize performance and reduce compute costs; * 3 years of experience monitoring SQL Server database activity and investigating query performance issues or slow execution times; and * 3 years of experience in writing scripts in q within kdb and generating analytics from those scripts. Wage Range: $210,000 - $250,000 CV to Domenica.Seifel@lmrpartners.com, Ref. PC26.