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Position: Quantitative Developer
Institution: Milliman, Inc.
Location: Chicago, Illinois, United States
Duties: Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance. Implementing derivative models as VBA, C++, and C# modules. Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes. Calibration of capital markets models to market prices and historical capital markets data. Developing trading strategies and performing historical regression tests
Requirements: Obtained, or made successful progress toward, an advanced quantitative academic degree, preferably in math, physics, or quantitative finance. Made successful progress toward CFA and/or FRM designations. Experience carrying out quantitative financial analysis, preferably based on portfolio and option valuation theories. Experience with stochastic modeling exercises including use of Monte Carlo techniques. Demonstrated proficiency in computer programming languages including C++, Matlab, and Excel VBA, and has an appreciation of object oriented software design
   
Text: Quantitative Developer Information Technology Apply with LinkedIn Apply now Posted : September 17, 2018 Full-Time Chicago, IL, United States The Chicago office of Milliman Inc. is looking for bright, enthusiastic and qualified candidates to work in their Financial Risk Management (FRM) practice. We have a focused, multi-disciplinary team of actuaries, financial engineers / capital markets professionals and software developers working together to develop risk management solutions for the financial services industry. We currently advise some of the world's largest insurance companies in areas such as hedging strategy and operations, portfolio risk management, and capital requirements. Responsibilities The candidate would potentially be involved in the following types of projects: Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance Implementing derivative models as VBA, C++, and C# modules Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes Calibration of capital markets models to market prices and historical capital markets data Developing trading strategies and performing historical regression tests Required Skills The ideal candidate will have: Obtained, or made successful progress toward, an advanced quantitative academic degree, preferably in math, physics, or quantitative finance Made successful progress toward CFA and/or FRM designations Experience carrying out quantitative financial analysis, preferably based on portfolio and option valuation theories Experience with stochastic modeling exercises including use of Monte Carlo techniques Demonstrated proficiency in computer programming languages including C++, Matlab, and Excel VBA, and has an appreciation of object oriented software design Demonstrated strong communication skills, capacity for leadership, and creative problem solving The ability to work independently and in a team environment A results-oriented work ethic Qualifications Skills Behaviors : Motivations : Education Experience Licenses & Certifications Equal Opportunity Employer/Protected Veterans/Individuals with Disabilities The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor’s legal duty to furnish information.
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