FactSet is a financial data and software company headquartered in Norwalk, CT with offices in 23 locations worldwide. In 2009, annual revenues for FactSet exceeded $650 million and employee headcount passed 3,000. FactSet has been publicly traded on the New York Stock Exchange under the symbol FDS since 1996 and on NASDAQ under the same symbol since 2009. FactSet was ranked #48 on FORTUNE’s “100 Best Places to Work” list in 2010 and has been listed as one of Forbes’ “200 Best Small Companies” for 13 consecutive years.
The FactSet Quantitative Financial Models group is currently looking to fill the position of Quantitative Analyst to assist in the research, development, and support of financial components for our suite of fixed income analytics software products. The Quantitative Analyst will be working closely with Financial Engineers, Product Developers and Software Engineers to research and implement quantitative financial models. A successful candidate should have a solid background in finance, programming, and mathematics.
The goal of the Quantitative Financial Models group is to research, develop, and support scalable quantitative prepayment, credit, risk, and econometric models that are used to generate the advanced fixed income analytics that are used in FactSet fixed income products such as Fixed Income Explorer, Fixed Income Portfolio Analysis, and FactSet’s proprietary risk models.
Key responsibilities for the role of Quantitative Analyst – Econometrics may include:
+ Development and maintenance of financial forecasting models used in our growing Econometric Forecasting Engine.
+ Establish best practices and enhance the non-linear optimization tools that we use for model calibration.
+ Working with the large datasets needed to calibrate any models.
+ Prototyping models in a high level programming or statistical language such as Matlab or R.
+ Proactively working to ensure the coherence and parsimony of econometric models within the larger quantitative model suite.
+ Writing high quality documents for internal and external client consumption.
+ Exhaustively testing new features or products.
+ Reviewing all client-reported software bugs, enhancement suggestions, and questions related to the quantitative model suite.
+ Working with the Quality Assurance department to establish tests for new features or products.
+ Contributing to other quantitative product development projects as the need arises.
Job Requirements :
+ A Ph.D. in Statistics, Economics, Finance or Operations Research or an M.S. with 3+ years of experience in the research and development of statistically based financial models at a bank or financial services firm.
+ Hands-on experience with standard econometric techniques (ARIMA, Vector Auto-Regression, GARCH, etc) and a desire to share expertise with the broader group.
+ Strong knowledge of stochastic calculus and its application to finance. A familiarity with interest rate models a strong plus.
+ Comfort with non-linear optimization techniques.
+ A familiarity with a high level programming or statistical languages such as Matlab or R. Familiarity with a database language like SQL or the FactSet Query Language (FQL) a plus.
+ A thorough understanding of the quantitative investment management process.
+ Ability to conduct independent research, as well as work well within a group.
+ Excellent communication skills as well as the ability to articulate financial concepts to a diverse group of individuals.
FactSet Research Systems Inc. is an E-Verify participant and EOE/M/F/D/V Employer which strongly supports diversity in the workforce
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