Hi, Hope you are good.
Please find the below requirement and let me know if you have any suitable resources.. *Role: QA with Quant,* *Location: Chicago IL,* *Rates: Please give at the market rate,* *Contract to Hire after 3 months.* *Job Description: * The Model Validation Analyst will be responsible for functional and integration testing of complex Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). In terms of the asset classes, this role would fit someone with either strong academic knowledge or work experience in OTC (IRS, FX, and CDS) or Commodities/Futures asset classes. In terms of model validation skills, it requires a good knowledge or ability to learn advanced pricing models (Options) and risk methods like Monte Carlo, Volatility Forecasting, Correlation Analysis, Liquidity Risk, etc. Expertise in statistical testing and prior experience with theoretical justifications of Risk Models is also a helpful experience for this role. This position will also entail significant interaction with the Quantitative Model Development team and help implement and perform continuous validations and enhancements of these risk models. This role would require the ability to multi-task and operate under aggressive deadlines.. Principle Responsibilities: ü Develop test strategies and test cases to validate quantitative risk models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.). ü Develop automation tools and regression testing procedures to ensure seamless deployment and continuous improvement of these models within the Production Infrastructure of CME ü Ensure testing strategy covers for business driven differences across environments, model versions, and other configurations ü Develop and execute testing strategy for frequent migration of new code into Production Parallel and Production ü Maintain and enhance process for defects management and change control for model changes ü Build and foster key relationships with the quantitative model development team through regular interaction and aligned deliverables; ü Provide support and input to internal risk system improvement initiatives. Minimal Qualifications: ü MBA/MS in Financial Engineering, or a quantitative field and possesses strong quantitative, analytical and problem solving skills ü Academic knowledge related to pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations, etc.) ü Familiarity with fixed income asset classes – plain vanilla types and derivatives - and market conventions, in at least one of the following (Interest rate Swaps, Swaptions, OTC_FX, CDS, Energy) ü Exposure to risk/trade capture systems; experience in risk system design or QA; Preference will be given to candidates who have worked in a team on full-cycle projects to implement risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc. ü Excellent organizational skills in terms of QA, test strategy preparation, test cases development, and functional/regression testing ü High degree of SQL and Java/C#VBA and Excel skills are also essential. ü Solid understanding of configuration management and release control process (e.g. GIT repositories, Daily build deployments, etc.) ü The successful candidate must also possess strong oral and written communication skills. ü 4+ years of overall financial industry experience *Thanks and regards.* * suresh Kotturu* *O : 281-823-9222 X 528|F : 281-823-9225 | **E :[email protected] <[email protected]>* *Gtalk: [email protected] <[email protected]> .* -- You received this message because you are subscribed to the Google Groups "Oracle-Projects" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/oracle-projects. For more options, visit https://groups.google.com/d/optout.
