Lead Software Engineer - QRM

Lead Software Engineer – QRMSalary: $165k-$185k + bonusLocation: Chicago, ILHybrid: 3 days onsite, 2 days remote*We are unable to provide sponsorship for this role*Base pay range$165,000.00/yr - $185,000.00/yrQualificationsMaster’s degree is required in a quantitative field6+ years of experience in quantitative areas in finance and/or development experience in model implementation and testingProficiency in Python development for prototyping and test automationExperience with numerical libraries and/or scientific computingExperience with automated quality assurance frameworks (e.g., Junit, TestNG, Pytest, etc.) for model testingExperience in relational database technology and SQL query languageGood understanding of markets and financial derivatives in equities, interest rates, and commodity productsFinancial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniquesNumerical methods and optimization; Monte Carlo simulation and finite difference techniquesRisk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)ResponsibilitiesSupport the development of quantitative models for pricing, risk management, and stress testing of financial products and derivativesReview model documentation including whitepapers and implementation notesDesign, implement, and maintain model prototypes and model testing tools using best industry practices and innovationsReview and conduct comprehensive quality assurance testing on the implementation of models and algorithms for both QRM Library and prototypes focusing on requirement verification, coding, and testing quality, which involves the constructions of test cases, automation of model unit testing and creations of reference models if neededPresent test plans and test results to, and obtain feedback from peers, model validators, and model developersParticipate in code reviews for QRM Library, model prototypes, and Model Development ToolContribute to the model release testing including margin impact analysis and baseline support and troubleshooting during model library integration with production applicationsContribute to the development and testing of Model Development Tool including databases, ETLs, services, orchestration, and CI/CD pipelinesSupport large-scale model backtesting using historical data, including system configuration, execution and analysis of resultsSeniority levelMid-Senior levelEmployment typeFull-timeJob functionInformation TechnologyIndustries: Information Technology & Services, Capital Markets, and Financial ServicesDon’t See a Fit? Let Us Know What You’re Looking For #J-18808-Ljbffr

Created: 2025-09-17