Quantitative Risk QA Consultant for a one year contract position with the possibility of an extension. Must work on our W2Chicago/Hybrid (in office 3 days a week – Wed, Thursday with the ability to choose the 3 rd day) Job Description: Candidate will assist the Clearing Department on day-to-day activities in support of quant risk team. The Quantitative Risk Team in the Risk Management Department is responsible for developing, analyzing, and back-testing models for clearing initiatives. Principal Accountabilities : Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing. The candidate must have the ability to efficiently, effectively, and independently conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time. Skills / Software Requirements :
Strong quantitative and analytical background.
Excellent programming, communication, and documentation skills.
Knowledge of financial markets.
Knowledge in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
Knowledge in advanced derivatives modeling and knowledge of volatility models preferred.
Experience with programming languages such as C/C#, R, VBA, and SQL is also required.
Preference will be given to candidates who can demonstrate the best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
Education :
Bachelor or Master's in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline
