Quantitative Finance

at  Conning Company

POSITION DESCRIPTION

Department: Quantitative Finance
Location: Cologne, Germany

POSITION SUMMARY:

The position is for a financial and economic modeling analyst with strong software coding skills. Candidates with experience and interest in modeling real world phenomena are encouraged to apply. Experience in the following areas is a plus: finding, cleaning and analyzing real data; developing discrete and continuous time stochastic models that explain the data; developing algorithms to estimate model parameters from real data; coding and documenting simulation models and estimation algorithms; and model testing, including reconciling simulations with the historical record.

REQUIREMENTS

• Formal education at a graduate level in economics, finance, or mathematical sciences.
• Knowledge of continuous time finance theory essential. Knowledge in some of the areas of econometrics, probability and statistics, stochastic processes, optimisation theory, differential equations, and numerical analysis a plus.
• Basic understanding of financial markets including fixed income, credit, equity, inflation and derivatives.
• Strong problem solving skills.
• Self-starter who can work and learn independently as well as being able to carefully execute detailed instructions.
• Ability to work effectively in a project and deadline oriented position.
• A strong interest in software development and experience with some programming languages such as Julia, Python, C, C++, Fortran, or Matlab; javascript a plus.
• Experience with programming financial or mathematical procedures.
• Previous experience with Economic Scenario Generators is an advantage.
• Language skills: English.
  The successful applicant will be working from our offices in Cologne, Germany, where our European operations are located. Salary is commensurate with experience and background. Starting dates are negotiable. We are an equal opportunity employer. See our website for additional information: www.conning.com.

• Analyze data and develop specifications for building market variables and asset models.
• Model prototyping and code implementation.
• Research, development and implementation of stochastic financial models.
• Software implementation of asset models and pricing routines according to mathematical specifications.
• Rewriting existing code to optimize performance.
• Making recommendations for future development of the modeling platform to solve problems relevant to our target markets.
• Development of estimation and recalibration tools.
• Validation of quarterly calibrations.