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INTERNATIONAL MONETARY FUND, Quantitative Modeling
Engineer, PhD.
July 31, 2010
Summary
Under the supervision of the Team Leader of the Economic Modeling
Support Team, the Information Technology Office will be required to
implement economic and financial models, advanced econometric methods,
and numerical algorithms using several languages. The team provides
support and development services for applied mathematical, econometric
and quantitative finance modeling.
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.
• Designs algorithms for the implementation of highly specialized
methodologies used in estimation, optimization theory and numerical
approximation.
• Develops course materials and provides training on use of advanced
techniques in applicable modeling systems.
• Design and implementation of high power computing solutions may be
required for very large or computationally intensive models.
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.
• Partial differential equations, ordinary differential equations and
numerical integration.
• Stochastic dynamic programming.
• Linear algebra.
• Derivative pricing, bond pricing and risk analysis, term-structure
modeling.
• Value-at-risk (VaR) computation for various types of portfolios.
• 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.
• Microsoft Office add-in development using COM or .Net.
Skills
• Familiarity with a broad range of technologies supplemented by
in-depth knowledge in specific areas of relevance
• Analytical skills that enable synthesis of inputs from many sources,
and allow for strategic thinking and tactical implementation
• 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, preferably three, of the following areas:
applied mathematics, computational economics, econometrics, high power
computing, quantitative finance and statistics.
Education
Ideally a PhD, we seek an advanced university degree in computer
science, engineering, mathematics, operational research, statistics or
related field of study or equivalent, plus a minimum of four years of
relevant professional experience.
To apply, send resume to email tvacher@imf.org.
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