Job Location: Bangalore/Bengaluru
Summary:
The Quant Risk QA Analyst will be responsible for working in a team that is involved in analyzing, testing and reviewing of 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 within IRS, OTC FX, F&O and Repo products. The candidate will design and develop tools for Market Risk Analytics as well as QA tools. She/He works in a team that interacts with multiple functional teams across the company to support, functional, Integration and release testing activities.
This analyst will also independently collaborate with stakeholders across multiple asset classes to develop testing strategies across different initiatives, working with multiple teams and departments within CME.
Principal Accountabilities:
- Understand and Test the different Margin models for various asset classes (IRS, OTC FX and F&O)
- Ensure sound implementation of the models and make recommendation for improvements in model work flows for entire lifecycle from prototype to production.
- Work with Technology teams to integrate various Risk Library releases and help providing baseline numbers and trouble shoot mismatches.
- Develop Quant QA tools (Build/Enhance/Scale), add unit tests and build checkout scripts for number comparisons with NR / Production numbers and support validation during checkouts.Perform Regression tests for new Risk Library versions.
- Work on Market Risk analytics tools and work with the Offshore team to standardize the tools built to a Production system.
- Continuous software tool development and maintenance to validate all model related infrastructure across teams of CME
- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME.
- Co-ordinate and plan testing activities with various internal stake holders and IT teams and be able to communicate the test results and analysis
- Perform thorough regression testing of Model Library and associated components when bugs are resolved.
- Creating detailed, comprehensive and well-structured test plans and test cases
Skills & Software Requirements:
- Good understanding of Futures/Options, Pricing models, VaR and have worked in model validation space.
- Proficiency with OOP in Java and SQL/Oracle is required. Knowledge of C++/C#, R, VBA, Python would also be beneficial.
- Able to work in a fast-paced environment. Multi-tasking and attention to detail are critical
- Strong organization skills and an ability to work independently with minimal supervision.
- Experience in version control tools, Code reviews and mentoring of Junior level resources is desired
- Strong knowledge of software QA methodologies, tools and processes
Education:
- Bachelor’s degree required in a technical discipline, but a Master’s degree is preferred in the following disciplines- Math Finance, Applied Mathematics, Financial Engineering, Software Engineering
- Work Experience- 1+ years in a financial industry related experience is desired.
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