Quantitative Risk QA Consultant

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Candidate will assist the Clearing Department on day-to-day activities in support of quant risk and IT teams. The Team in the Risk Management Department is responsible for developing, analyzing, and testing various Margin models across multiple asset classes for clearing initiatives.

• Daily code release testing for all CMESC code releases
• Historical data validation
• Margin and stress testing model validation
• Portfolio back-testing
• Independent research, problem analysis, solution formulation and implementation, and producing high quality results on time.

• Strong quantitative and analytical background
• Excellent programming, communication, and documentation skills
• Knowledge of financial markets
• Advanced quantitative risk modeling and statistical models in risk management preferred
• Advanced derivatives modeling and volatility models preferred
• Experience with programming languages such as C++/C#, R, VBA, and SQL required
• Demonstrated best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.

Master’s in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.

We are an equal opportunity employer and value diversity at our company. We do not discriminate based on race, religion, color, ethnic origin, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.

• Entry level

• Contract

• Quality Assurance
• IT Services and IT Consulting