Quantitative Analyst

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Job Description
The selected candidate will join the Global Quantitative Research team at ICE which designs, implements, and supports enterprise quantitative models and systems.

The primary responsibility of this position will be to drive all quantitative model research related items in the Clearing Houses while supporting other business lines at ICE (Exchange, Data Services, etc.).

This job requires strong quantitative finance skills, a passion to see projects succeed and a strong attention to detail. It requires programming skills as well as mathematical knowledge. This role will interact with various teams of different backgrounds and expertise, so the ability to communicate clearly and concisely is a must. This role will have direct exposure to interest rate derivatives, equity derivatives, credit derivatives and commodity derivatives.

A strong background in programming, stochastic calculus and probability theory is preferred.

Responsibilities

• Drive clearing house margin, stress and collateral management models R&D.
• Define business requirements and specifications for model upgrades and enhancements.
• Build models to price ETD derivatives across all asset classes.
• Model volatility surface dynamics for liquid and illiquid assets
• Model specific risks such as concentration charges and wrong way risk.
• Contribute strongly to “hands-on” and ad-hoc requests for development and solutions in time-critical situations.
• Interact with risk departments to provide support for existing clearing house quantitative models.
• Interact with technology groups for production implementation design.
• Contribute to the core quantitative library used by the organization.

• PhD or MSc in Physics, Mathematics, Quantitative Finance, Statistics, or a relevant scientific field.
• Strong mathematical knowledge of financial derivatives pricing and risk management models.
• Excellent quantitative, analytical and problem-solving skills with solid knowledge of statistics, particularly time series analysis.
• Strong C++ and Python required.
• Capable of working under pressure within a diverse team to accommodate tight deadlines.
• Great attention to detail with ability to work independently and as part of a team.
• Capable to articulate complex concepts to senior management on a regular basis.
• 2+ years of work experience in quantitative finance fields from financial institutions, with proven record designing or implementing quantitative finance models preferred

• Strong C++ knowledge
• Work experience in options pricing theory
• Work experience in Data Analytics and Machine Learning
• 1 Years of experience in a related field.