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| Job Title: | IT Senior SAS Developer | |||
| Job Ref No: | 14194-0012 |
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| Job State: | California | |||
| City: | Pasadena | |||
| Job Posted Date: | 10/20/2011 | |||
| Job Description: | Req # 4 Please submit GC/EAD/US Citizens only. This is contract to Hire position. Attached is a job description for the request of a SAS programmer/statistician who has experience with the deployment of financial (Risk related) models in a SAS environment. Job Title: IT Senior SAS Developer Location: Pasadena, CA Duration: 6 month Consult to Hire Start Date: Late November JOB DESCRIPTION: The Senior SAS Developer will be responsible for the design, development, programming, and testing of risk and analytic systems and calculations, and specifically the implementation of quantitative models for security valuation and Monte Carlo and related simulation techniques. He/she will work closely with the quantitative risk managers (financial engineers) to understand and implement their models in a robust and supportable manner, in adherence with sound IT practices. He/she will also work closely with IT/Quant developers, QA engineers, and business analysts through out project lifecycle under minimum supervision of project manager. RESPONSIBILITIES/DUTIES: ? Actively communicate with Quantitative Risk Analysts and Financial Engineers/ Modelers to understand and to document quantitative models for: valuing complex securities; simulating historical, statistical and theoretical scenarios; computing deterministic and stochastic risk measures. ? Design, develop and test software to implement the above models using SAS, mathematics/statistics/financial libraries as well as procedural, object-oriented and scripting languages. ? Develop high quality code that is efficient (fast), supportable, and follows industry best practices. ? Coordinate and support the testing of models with QA engineer and user by executing tests and providing results and supporting data. ? Support production Risk System and models by researching and diagnosing issues, answering user/business questions, and rectifying issues as required. ? Produce appropriate project documentation including schedules, system requirements, technical designs and testing plans and results. ? Interface directly with development and operational groups in support of software and production releases COMPETENCIES: TECHNICAL: ? Minimum 5 years intensive hands-on experience with SAS and familiar with BASE SAS, SAS STAT/ETS/OR/ILM/QC and EBI. ? Minimum 5 years enterprise software development in IT capacity. ? Minimum 3 years software development related to financial models. ? Moderate knowledge of statistical distributions and calculations and basic understanding of matrix calculation required. ? Experience with IT methodology and best practices. ? Familiar with relational databases (Oracle preferred) and Store Procedures required. ? Prior hands-on working experience with SAS Reporting and SAS ETL are strongly preferred. ? Prior hands-on working experience with SAS Risk Dimension is strongly preferred. ? Prior hands-on working experience with FinCAD Analytics Suite for developer is strongly preferred. ? Prior large scale SAS based IT system implementation experience is strongly preferred. BUSINESS: ? Familiar with a broad array of Fixed Income products including Structured Product (RMBS, CMBS, CDO, ABS) and IRS/CDS/CDX swaps and other derivatives. ? Familiar with common fixed income analytics and risk measurement terminology and calculations. ? Familiar with classical simulation methodologies such as Variance Covariance Matrix based Monte Carlo, model based Mote Carlo, and various interest rate models. ? Prior experience implementing or enhancing a risk management system is a huge plus. GENERAL: ? Strong communication and documentation skills ? Highly self-motivated, results oriented, and capable of independent and critical thinking and problem solving ACADEMIC QUALIFICATIONS (MINIMUM REQUIREMENTS): ? B.S. or equivalent education in computer science or engineering is required. Advanced degree is strongly preferred. Archana Kulkarni (Archie) MetaSense, Inc. |
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