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Application Programmer
Ref No.: 19-09373
Category: Experienced Professional
Location: Chicago, Illinois
Position Type:Contract
Start Date / End Date: 12/30/2019 to 12/30/2020
Genesis10 is currently seeking an Application Programmer with our client in the financial industry in their Chicago, IL location. This is a 12 month + contract position.

  • Objective of this project is to deliver the operational capabilities, governance framework and obtain local regulatory approvals to adopt an Internal Models Methodology for derivative counterparty credit risk 
  • Main responsibility for this role is to develop Advanced CVA calculation on MRS (model development, submission, production roll-out)
  • Support development, maintenance and enhancement of quantitative/analytic models and applications in support of the firm's risk management effort
  • This role focuses on the development and enhancement of risk analytics
  • This role often possesses an advanced degree in statistics or another related quantitative discipline
  • Perform statistical analysis to calibrate shocks for various margin components to be used in margin calculation using historical time series
  • Review current methodology to enhance margin adequacy
  • Prototype models for technology team's implementation and test technology team's implementation to ensure margin accuracy
  • Develop a process to perform benchmarking and back testing on a daily basis. Identify, analyze, explain any overages
  • Support ad-hoc analysis for model documentations/submissions and aid in addressing required action items raised by model risk management group
  • PhD (preferred) or Master's degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
  • Advanced programming skills in python
  • Solid understanding of derivatives pricing
  • In depth understanding of Value at Risk and statistical estimation methods
  • Strong communication (both written and verbal) and collaboration skills. (this project involves communicating with various groups within the firm)
  • Experience in quantitative modeling or validation experience
  • Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues
  • Able to work as a W2 employee of Genesis10 (no Corp-to-Corp)
Desired Skills:
  • Experience in Prime Brokerage margin model development / validation
  • Experience is MSCI RiskMetrics VaR
If you have the described qualifications and are interested in this exciting opportunity, please apply!

About Genesis10:

Genesis10 is a leading U.S. business and technology consulting firm with hundreds of clients needing proven talent and solutions to power their strategic initiatives.  If you are a high performing business or IT professional with solid, referenced experience, we want to meet you.  Genesis10 recruiters and delivery professionals are highly accomplished career advocates, who get to know you beyond your resume to position you with the opportunities that fit your skills, experience and aspirations.  We have benefit options to fit your needs and a support staff that works with you from placement throughout your engagement – project after project.   To learn more about Genesis10 and to view all our available career opportunities, please visit us at  "Genesis10 is an Equal Opportunity Employer, M/F/D/V”