Talensa Partners · 6 days ago
Quantitative Developer - Derivatives Risk Modelling
NYC Metro Area
Full-time
Onsite
Senior LevelTalensa Partners is a fast growing and innovative Financial Services Markets Infrastructure and Consulting firm based in New York. They are seeking a Quantitative Developer to enhance Derivatives risk and analytics infrastructure by delivering efficient solutions for margin calculation and risk analytics.
Staffing & Recruiting
Hiring Manager
Michael Warren
Responsibilities
Develop and maintain quantitative libraries for risk calculations, including risk weights, correlations, and historical volatility ratios
Implement and optimize IMM methodology within proprietary and vendor platforms
Collect, validate, and aggregate market and risk data from multiple sources
Develop and maintain backtesting, benchmarking and performance monitoring frameworks to validate IMM performance against historical P&L vectors
Build and enhance analytics platforms to support IMM processes and parameter recalibration
Collaborate with quantitative analysts, risk managers, and technology teams to ensure alignment, efficiency and enhancements for future processes
Qualification
Required
Strong programming skills in Python (mandatory), with experience in C++, Java, or similar languages
Proficiency in data handling and analysis using Pandas, NumPy, and SQL
Familiarity with cloud-based solutions and version control (Git)
Solid understanding of risk modelling, margin methodologies, and derivatives pricing
Knowledge of regulatory frameworks such as BCBS-IOSCO, UMR margin requirements, Standardised approach for regulatory capital (FRTB-SA) and or XVA Capital / Exposure modelling
Master's degree (or equivalent) in Mathematics, Physics, Computer Science, or a related quantitative discipline
Years of experience in quantitative development within financial services
Preferred
Experience in risk management, derivatives risk / margin calculation, or analytics is highly desirable
Experience working within a consulting firm, or at a sell-side / buy-side financial institution
Experience in Derivatives Margin Modelling (preferable), Capital Markets Risk modelling, Model Validation, Model development experience
Company
Talensa Partners
Welcome to Talensa Partners Your dedicated search partner for Technology, Finance & M&A, Data & AI, Product and Transformation leadership talent that tackle the business problem, build on culture and enable the next phase of innovation and growth.
Founded in 2024
2-10 employees
Funding
Current Stage
Early StageCompany data provided by crunchbase