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Senior Quant Developer - 1702675

Company: Fidelity Investments
Location: Boston, MA
Posted on: March 24, 2017

Job Description:

Duties: Develops and supports research, portfolio construction, and
investment operation applications. Supports quantitative asset allocation
research and risk management capabilities.

Primary Responsibilities:

• Develops quant and risk solutions, using R, Java, and SQL.
• Partners closely with quant research analysts to support the
implementation of solutions.
• Supports validation and backs testing of financial models.
• Collaborates with quantitative research team, portfolio managers,
technology teams, and senior management.
• Participates in the design and documentation of technology
architecture.
• Analyzes and supports quantitative asset allocation research, risk
management capabilities, and idea conceptualization for enterprising
efforts throughout the project lifecycle.
• Maintains and develops code base to support optimization, back
testing, and parallel computation of investment products.
• Performs automation regression testing.

Requirements: Master’s degree (or foreign education equivalent) in
Computer Science, Engineering, Information Technology, Information Systems,
Mathematics, Physics, or a closely related field and two (2) years of
experience in the job offered or two (2) years of experience validating
quantitative models for asset management. Candidate must also possess:
Demonstrated Expertise (“DE”) testing mathematical assumptions of
investment models, using Monte Carlo simulation to analyze equity portfolio
positions, and drafting final validation reports; DE performing CCAR stress
tests of FX models, including profit attribution analysis and stress
scenario sensitivity testing; and developing risk factor models, analytics,
and databases using VBA, R, and kdb+; DE implementing Libor market models
with stochastic volatility for fixed income asset classes using C++;
simulating the forward Libor rate using Monte Carlo methods; and
propagating the stochastic process using CIR models, including performing
Principle Discipline Analysis (PCA) to reduce the computational dimension;
DE developing derivative pricing systems -- models and algorithms -- using
C++ and Python; unifying the memory management method; designing the public
interface and bind to Excel; and managing the code repository in SVN.

To apply, visit http://jobs.fidelity.com and search for Job Number 1702675.

Keywords: Fidelity Investments, Boston, Senior Quant Developer - 1702675, Finance, Boston, MA, Massachusetts

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