Quantitative Developer - Equity Factor Model

Job Description

Millennium is seeking a Quantitative Developer to join their Equity Factor Risk Model Research Technology Team. The candidate will be responsible for designing and developing an equity portfolio analytics framework, including MSCI Barra equity factor risk models.

The role involves:

• Building expertise in Barra and proprietary factor risk models.
• Building infrastructure for data extraction, transformation, and loading using SQL and ‘big data’ technologies.
• Identifying, designing, and implementing internal process improvements.
• Working with the portfolio research team on the development and integration of new analytics models.
• Performing extensive back-testing of risk factor models.
• Supporting and running processes for risk management and equity portfolio research.

The ideal candidate should have:

• A minimum of 5 years of software development experience in finance.
• A broad understanding of equities markets and portfolio construction.
• Strong knowledge of software design, including algorithms and object-oriented design.
• Advanced R and Python programming skills (5+ years of professional experience).
• Hands-on experience in scaling R to Big Data.
• Advanced knowledge of SQL (5+ years of professional experience).
• Experience developing solutions in ‘big data’ analytics engines (Apache Spark).
• Strong communication skills.
• detail oriented, a quick learner and able to adapt to a dynamic high paced environment