Job Details:
Job Title : Sr. Software Engineer (SAS Consultant)
Location : Los Angeles, CA
Duration : 1-3 Years Contract
Must have SAS tech skills and strong experience in building large systems in any domain not limited to financial markets. Does NOT need financial market experience/financial engineering or SAS risk dimension.
Responsible for the engineering and development of optimized, enterprise quality, risk and analytic software as a member of an IT team developing an Enterprise Risk System. Responsibilities include developing risk calculations, risk dashboard and detail reports for Enterprise Risk System. The Senior Software Engineer 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 manager, risk operation, and risk modeler (financial engineer) to understand their requirement and implement robust and efficient program in a supportable manner, in adherence with best practices. He/she will also work closely with IT architect, quantitative developer, QA engineer, and business analyst throughout project lifecycle under minimum supervision of project manager.
Responsibilities/Duties:
§ Design and develop efficient, flexible and supportable software to implement risk dashboard and detail reports, and required data transformations using SAS, Oracle database.
§ 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 by researching and diagnosing issue, answering business question, and rectifying issue as required.
§ Produce appropriate project documentation including schedules, system requirements, technical designs and testing plans and results.
Competencies:
TECHNICAL:
§ Minimum 10 years of hardcore programming in Base SAS, Macros, PROC SQL, IML, PC FILES and SAS Enterprise Guide.
§ Minimum 8 years of IT system development using UNIX environment and various scripting languages.
§ Minimum 3 years of intensive SQL and PL/SQL programming experience.
§ Familiar with source code management and deployment tools like SVN and Ant Hill Pro.
§ Familiar with IT SDLC methodology and best practices.
§ Prior large scale SAS based IT system implementation experience.
GENERAL:
§ Strong communication, teamwork, 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 computer science is required. Advanced degree is strongly preferred.
Financial Engineer (Risk). Updated job description (previously SAS Quant Developer). Must have financial market experience, financial engineering. Does NOT need SAS tech skills or SAS risk dimension experience.
The Financial Engineer is responsible for the specifications and testing of 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 specifying requirements 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 Financial Engineer 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 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
§ Provide specifications for SAS development team
§ 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 of experience related to quantitative, statistical and/or financial models in fixed income assets classes such as government bonds, corporates, municipals, mortgages, structured products, derivatives.
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.
GENERAL:
§ Strong communication, teamwork, and documentation skills
§ Highly self-motivated, results oriented, and capable of independent and critical thinking and problem solving
Academic Qualifications (minimum requirements):
§ Advanced degree in financial engineering is required.
Thanks & Regards
Nilesh Awadhiya
Sage Group Consulting, Inc.
3400 Highway 35, Suite # 9, Hazlet, NJ 07730
Office: 732-767-0010 X 227
Direct: 732-658-5828
Fax: 732-837-2452
Email : nawadhiya@sagetl.com
Website : www.sageci.com
Gtalk: nilesh.awadhiya |Yahoo IM: n_awadhiya
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