Senior Quant Developer - 1702675
Company: Fidelity Investments
Location: Boston, MA
Posted on: March 24, 2017
Job Description:
Duties: Develops and supports research, portfolio construction,
and investment operation applications. Supports quantitative asset
allocation research and risk management capabilities. Primary Responsibilities: • Develops quant and risk solutions, using R, Java, and SQL. • Partners closely with quant research analysts to support
the implementation of solutions. • Supports validation and backs testing of financial models. • Collaborates with quantitative research team, portfolio
managers, technology teams, and senior management. • Participates in the design and documentation of technology architecture. • Analyzes and supports quantitative asset allocation research,
risk management capabilities, and idea conceptualization for
enterprising efforts throughout the project lifecycle. • Maintains and develops code base to support optimization,
back testing, and parallel computation of investment products. • Performs automation regression testing. Requirements: Master’s degree (or foreign education equivalent)
in Computer Science, Engineering, Information Technology,
Information Systems, Mathematics, Physics, or a closely related field and two (2)
years of experience in the job offered or two (2) years of experience
validating quantitative models for asset management. Candidate must also
possess: Demonstrated Expertise (“DE”) testing mathematical assumptions
of investment models, using Monte Carlo simulation to analyze
equity portfolio positions, and drafting final validation reports; DE performing
CCAR stress tests of FX models, including profit attribution analysis and
stress scenario sensitivity testing; and developing risk factor models,
analytics, and databases using VBA, R, and kdb+; DE implementing Libor
market models with stochastic volatility for fixed income asset classes using
C++; simulating the forward Libor rate using Monte Carlo methods;
and propagating the stochastic process using CIR models, including
performing Principle Discipline Analysis (PCA) to reduce the computational
dimension; DE developing derivative pricing systems -- models and
algorithms -- using C++ and Python; unifying the memory management method; designing
the public interface and bind to Excel; and managing the code repository in
SVN. To apply, visit http://jobs.fidelity.com and search for Job
Number 1702675.
Keywords: Fidelity Investments, Providence , Senior Quant Developer - 1702675, Finance , Boston, MA, Rhode Island