Under the direction of a Senior Information Technology Officer, the Information Technology Officer serves 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 and data processing programs using C#, C++ or high-level programming languages such as, Matlab, Mathematica, etc.
· Develops course materials and provides training on use of advanced econometric techniques.
· Outstanding knowledge of optimization, including linear programming, nonlinear programming, dynamic programming and optimal control.
· Expertise in simulation-based optimization, stochastic programming, approximate dynamic programming, robust optimization, and/or game theory is preferred.
· Experience on large-scale mathematical programming modeling and algorithm development; Proficiency in current commercial and academic mathematical programming and optimization
modeling languages and solvers.
· Expert knowledge of probability theory, numerical approximation, numerical integration.
· Strong programming skills in an object-oriented programming language and knowledge of at least one high-level programming language specific to modeling packages such as Matlab,
Mathematica or Gauss.
· Stochastic differential equations, stochastic integration and stochastic calculus.
· Monte-Carlo simulation of multiple correlated processes, Markov Chain Monte Carlo simulation, including Gibbs sampler and Metropolis-Hastings algorithm.
· Linear algebra
· Personal computer architecture and memory organization, distributed and parallel computing.
· C++ or C# programming.
· Advanced econometrics (including but not limited to OLS, maximum likelihood, instrumental variables, and GMM estimation, Bayesian inference) would be a plus.
· 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.
· Ability to follow up current academic research on computational economics, applied mathematics and statistics.
· 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.
Doctorate degree in applied mathematics, electrical engineering, computer science or economics or substantial completion of requirements towards earning a doctorate degree in applied mathematics, electrical engineering, computer science or economics plus a minimum of 4 years of relevant work experience