SAS Quant Developer# JobHunting - 待字闺中
j*1
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contractor 职位，但可以办H1B transfer（不能申请新的H1B），如果合适会长期雇用
。公司是个Fixed Income Asset Management Firm.
发简历到 [email protected]
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，，请列上现在的工资，谢谢！
SAS Quant Developer
Job Description:
The SAS Quant Developer is responsible for the engineering and development
of optimized, enterprise quality, risk and analytic software written in SAS
as a member of an IT team developing an Enterprise Risk System.
Responsibilities include supporting Risk Managers in their development and
testing of models as well as developing code to implement all aspects of
market and credit risk measurement and management including time series data
management and regression, multi-factor models, security valuation models,
Monte Carlo, scenario and stress market state simulation, risk attribution,
back testing, and reporting. The SAS Quant Developer is also responsible for
testing code against reasonable and expected results and validating results
with Risk Managers. He/she will work closely with the risk managers, risk
operations, and risk modelers (financial engineers) to understand their
requirements and implement robust and efficient programs in a supportable
manner, in adherence with best practices. He/she will also work closely
with IT architects, other quantitative developers, QA engineers, and
business analysts throughout project lifecycle under minimum supervision of
project manager.
Responsibilities/Duties:
Analyze and comprehend the financial engineering and intent of statistical
risk factor and security valuation models
Design and develop efficient, flexible and supportable software to implement
quantitative models and required data transformations using SAS,
mathematics/statistics/financial libraries and Oracle databases.
Develop and utilize reliable methods to validate code and work with QA
engineers and Risk Managers to confirm results. Coordinate and support the
testing of developed code in the context of the overall risk system.
Support production Risk Systems and models by researching and diagnosing
issues, answering user/business questions, and rectifying issues as required.
Produce appropriate project documentation including schedules, system
requirements, technical designs and testing plans and results.
Competencies:
TECHNICAL:
Minimum 3-5 years software development related to quantitative, statistical
and/or financial models.
Minimum 3 years of experience programming in SAS; familiar with Base SAS,
Macros, Proc SQL and SAS Enterprise Guide; programming should include
development of new models from scratch.
Evidence of ability to design and develop SAS programs optimized for
performance and support. Experience developing and using automated unit
testing and data validation is preferred.
Prior experience with one or more of the following: RDBMS, SAS Reporting,
Excel, and ETL is highly preferred.
Prior experience with FinCAD Analytics Suite for developer is preferred.
Prior Enterprise IT system implementation experience is preferred.
BUSINESS:
Knowledgeable in Risk Management concepts including Time Series conditioning
/modelling, Covariance based Monte Carlo, Scenario/Stress testing, Value at
Risk, Expected Shortfall, Tracking Error Volatility and attribution by risk
factor group and/or security segment.
Familiar with Fixed Income and derivative products including common fixed
income analytics and risk measurement terminology and calculations.
Moderate knowledge of statistical distributions and calculations and
understanding of linear algebra required.
Prior experience implementing or validating a risk management system is a
huge plus.
GENERAL:
Strong communication and documentation skills
Highly self-motivated, results oriented, and capable of independent and
critical thinking and problem solving
Academic Qualifications (minimum requirements):
B.S. or equivalent education in financial engineering is required. Advanced
degree is strongly preferred. Degree in Information Technology in
conjunction with FE is also strongly preferred.
。公司是个Fixed Income Asset Management Firm.
发简历到 [email protected]
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/* ]]> */
，，请列上现在的工资，谢谢！
SAS Quant Developer
Job Description:
The SAS Quant Developer is responsible for the engineering and development
of optimized, enterprise quality, risk and analytic software written in SAS
as a member of an IT team developing an Enterprise Risk System.
Responsibilities include supporting Risk Managers in their development and
testing of models as well as developing code to implement all aspects of
market and credit risk measurement and management including time series data
management and regression, multi-factor models, security valuation models,
Monte Carlo, scenario and stress market state simulation, risk attribution,
back testing, and reporting. The SAS Quant Developer is also responsible for
testing code against reasonable and expected results and validating results
with Risk Managers. He/she will work closely with the risk managers, risk
operations, and risk modelers (financial engineers) to understand their
requirements and implement robust and efficient programs in a supportable
manner, in adherence with best practices. He/she will also work closely
with IT architects, other quantitative developers, QA engineers, and
business analysts throughout project lifecycle under minimum supervision of
project manager.
Responsibilities/Duties:
Analyze and comprehend the financial engineering and intent of statistical
risk factor and security valuation models
Design and develop efficient, flexible and supportable software to implement
quantitative models and required data transformations using SAS,
mathematics/statistics/financial libraries and Oracle databases.
Develop and utilize reliable methods to validate code and work with QA
engineers and Risk Managers to confirm results. Coordinate and support the
testing of developed code in the context of the overall risk system.
Support production Risk Systems and models by researching and diagnosing
issues, answering user/business questions, and rectifying issues as required.
Produce appropriate project documentation including schedules, system
requirements, technical designs and testing plans and results.
Competencies:
TECHNICAL:
Minimum 3-5 years software development related to quantitative, statistical
and/or financial models.
Minimum 3 years of experience programming in SAS; familiar with Base SAS,
Macros, Proc SQL and SAS Enterprise Guide; programming should include
development of new models from scratch.
Evidence of ability to design and develop SAS programs optimized for
performance and support. Experience developing and using automated unit
testing and data validation is preferred.
Prior experience with one or more of the following: RDBMS, SAS Reporting,
Excel, and ETL is highly preferred.
Prior experience with FinCAD Analytics Suite for developer is preferred.
Prior Enterprise IT system implementation experience is preferred.
BUSINESS:
Knowledgeable in Risk Management concepts including Time Series conditioning
/modelling, Covariance based Monte Carlo, Scenario/Stress testing, Value at
Risk, Expected Shortfall, Tracking Error Volatility and attribution by risk
factor group and/or security segment.
Familiar with Fixed Income and derivative products including common fixed
income analytics and risk measurement terminology and calculations.
Moderate knowledge of statistical distributions and calculations and
understanding of linear algebra required.
Prior experience implementing or validating a risk management system is a
huge plus.
GENERAL:
Strong communication and documentation skills
Highly self-motivated, results oriented, and capable of independent and
critical thinking and problem solving
Academic Qualifications (minimum requirements):
B.S. or equivalent education in financial engineering is required. Advanced
degree is strongly preferred. Degree in Information Technology in
conjunction with FE is also strongly preferred.