Quantitative Model Validation - Berkeley, CA
The Risk Analytical QA team is responsible for developing and implementing the validation processes and procedures for industry adopted financial instruments, statistics, stress tests and reporting. Our goal is to ensure the 'highest level quality' and the 'fastest time to market' in the industry for financial products.
This is an exciting role that lies on the cusp of finance and technology. As a key member of this team, the candidate will have direct responsibilities for ensuring that MSCI market-leading analytics continue to provide clients exceptional analytics quality and sophistication. The members of the Risk Analytical QA team work on complex issues, where analysis is required to determine the root source of problems and associated factors. The candidate must be detail-oriented and capable to perform multi-task assignments in a timely and independent fashion.
Scope of Responsibility /Expectation:
The candidate will have opportunity to work on innovative financial models, for pricing as well as risk management, utilizing the latest technologies. The candidate will learn about our clients' needs and validate the quantitative models that fulfill those needs. The members of our team have opportunities to contribute in a broad set of roles including: studying functional, non-functional and analytic specifications, developing test plans and test cases, verifying formulas and implementing and using automated test tools.
The candidate will be exposed on a daily basis to the following topics. Knowledge of these areas is not required, however a strong motivation to learn is a must.
· Pricing and risk models for exotic derivatives, fixed income asset classes, credit derivatives, and securitized products
· Portfolio level risk analysis
· VaR methodology
· Automation framework, built with state of the art technologies, for validation of the models.
The candidate will also have responsibilities on a daily basis to a range of areas:
· Develop and extend independent validation tools which are used to ensure accuracy for all numbers produced by our analytics engines.
· Analyze and extend the analytics regression tests to ensure the complete and efficient coverage for all analytics engine statistics and asset types.
· Work with the Risk Research and Analytics Development teams to evaluate manual and regression test differences, check requirements, and extend test case coverage.
· Ensure that all daily test processes are completed successfully and resolve problems with the assistance of the research and development teams.
Specific Knowledge & Skills:
· Strong motivation to learn about financial markets
· Outstanding advanced mathematical and quantitative skills
· Strong written and oral proficiency in English
· Interest working in an environment that combines finance and technology
· Strong sense of ownership with projects
· 1-3 years experience in financial modeling or model validation
· Experience with a programming language (e.g Scala, VBA, Matlab, R, C++, Python, Java)
· Must be willing to work in a global team environment
· Relevant work experience prior to joining Masters or PhD programs is a plus
· Master's degree or PhD with focus in finance or a degree in mathematics, physics, statistics, or another quantitative field with a strong interest in finance
Our office is located in the Goregaon suburb of Mumbai, the capital city of the Indian state of Maharashtra. The office is primarily technology and data services but has representation from all groups.
The New York office is MSCI's Global Headquarters, the second largest office after Mumbai. It is located in downtown Manhattan, next to the World Trade Center memorial site. The office is also home to our CEO and several of our Executive Committee members.
The London office is located in the historic Spitalfields market area of East London, between the City of London and Shoreditch. It is our third largest office after Mumbai and New York.