Posted Sep 10, 2018 - Requisition No. 70565
The Multi Asset Risk Systems team (MARS) provides risk calculations and analytics across various asset classes by applying distributed computing techniques that span hundreds of machines. In addition to expanding our main product offering, our main concern is performance which requires using different methods and technologies to achieve the optimal solution. We use big data software, distributed computing algorithms, dynamic resource allocations, and cluster management among others.
We compute billions of derivatives valuations daily to provide quality data and risk analytics to our clients. Derivatives valuation is a challenging process, requiring the evaluation of nonlinear and discontinuous equations with high-dimensional input data and multidimensional output. We often use numerical techniques like Monte Carlo simulation and differential equation solvers to achieve the valuations. Our growing team is responsible for developing customized machine-learning pipelines to model all aspects of derivatives valuation to speed up our platform.
You will join a close-knit team of 120 engineers and growing. You will have the opportunity to use machine-learning tools like Gaussian processes, nonlinear regression, gradient boosting, and neural networks. We use these techniques to model aspects of derivatives valuation including: