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Quantitative Modeling Engineer

1:15:00 PM
We are seeking Quantitative Modeling Engineers for the Technology and General Services Department. He/she will serve as a member of the Economic Modeling Support Group, which provides Fund-wide support and development services for applied mathematical, econometric and quantitative finance modeling. The successful candidate will be required to implement economic and financial models, advanced econometric methods, and numerical algorithms using several programming languages.
Key Duties and Responsibilities:
  • Analyzes requests, designs methodology and develops programs and modules for advanced quantitative and statistical models.
  • Provides tier 2 and tier 3 support for econometric modeling software and other advanced modeling systems available in the Fund.
  • Writes computational or data processing programs using high-level programming languages proprietary to econometric and modeling packages such as EViews, Fame, Gauss, Matlab, RATS, Stata, TROLL.
  • Develops course materials and provides training on use of advanced econometric techniques.

Qualifications

Knowledge
  • Dynamic programming, constrained and unconstrained optimization theory and optimal control.
  • Stochastic differential equations, stochastic integration and stochastic calculus.
  • Probability theory and Bayesian inference.
  • Monte-Carlo simulation of multiple correlated processes, Markov Chain Monte Carlo simulation, including Gibbs sampler and Metropolis-Hastings algorithm.
  • Linear algebra.
  • Advanced econometrics (including but not limited to OLS, maximum likelihood, instrumental variables, and GMM estimation; cointegration analysis; panel data models; limited dependent variable models; VAR, SVAR, and VEC models; ARCH and GARCH models).
  • Object-oriented programming and data structures.
  • Personal computer architecture and memory organization, distributed and parallel computing.
  • Several high level programming languages specific to modeling packages available in the Fund such as: EViews, Fame, Gauss, Matlab, RATS, Stata, TROLL.
  • C++ or C# programming.
Skills
  • Familiarity with a broad range of technologies supplemented by in-depth knowledge in specific areas of relevance
  • Ability to quickly grasp how new technologies work and how they might be applied to achieve business goals
  • Analytical skills that enable synthesis of inputs from many sources, and allow for strategic thinking and tactical implementation
  • Interpersonal skills that create openness and trust among colleagues
  • Facilitation and conflict management skills that enable effective working relationships
  • Spoken and written communications that are compelling, convincing and re-assuring and skills to articulate complex technical ideas to non-technical stakeholders.
Experience
  • Ability to follow up current academic research on computational economics, quantitative finance, statistics, and econometrics.
  • Training others on highly specialized topics.
This position requires advanced programming skills and a strong background in at least two, of the following areas: applied mathematics, computational economics, econometrics, high power computing and statistics.
Education:
Advanced university degree in computer science, engineering, mathematics, business or related field of study or equivalent, plus a minimum of four years of relevant experience; or a bachelor's degree in computer science or a related field of study plus a minimum of 10 years of relevant experience, is required.
This vacancy announcement is for pipeline building purposes. We will subsequently select candidates for vacancies expected during 2012/2013 from this pipeline.

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