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Job Description:
The Sr. Quantitative QA Engineer is responsible for the validation of risk and analytic software written in SAS as a member of an IT team developing an Enterprise Risk System. Responsibilities include supporting quantitative/financial engineers in their testing of models as well as developing code to validate all aspects of market and credit risk measurement and management including time series data management and regression, multi-factor models, security valuation models, Monte Carlo, scenario and stress market state simulation, risk attribution, back testing, and reporting. The Sr. Quantitative QA Engineer is also responsible for testing code against reasonable and expected results and validating results with Risk Managers. He/she will work closely with the risk managers, risk operations, and risk modelers (financial engineers) to understand their requirements and implement robust testing programs in a supportable manner, in adherence with best practices. He/she will also work closely with IT architect, quantitative/financial engineer, system QA engineer, and business analyst throughout project lifecycle under minimum supervision of project manager. Responsibilities/Duties: - Analyze and comprehend the financial engineering and intent of statistical risk factor and security valuation models
- Design and develop efficient, flexible and supportable software to validate quantitative models and required data transformations using SAS, mathematics/statistics/financial libraries and Oracle databases.
- Implement automated test program to regress quality of security valuation, risk factor transformations, market state simulation models, and risk metrics at various level by security and risk factor segments.
- Work closely with quantitative developer, financial engineer, and system QA Engineer in transforming quantitative business requirements and use cases into test cases for model validation, functional, regression and integration testing.
- Create, execute, track and report on model validation, functional and integration test cases of highly quantitative risk management applications.
- Validate business rules in calculations and quantitative workflow; find, report and retest defects; execute end-to-end testing, integration and functional testing as assigned; track test case execution using Quality Center.
- Develop test strategies and test plans, ensure product quality, provide consulting on quality techniques, and ensure adherence to proper software development procedures.
- Estimate QA efforts, and develop testing strategy.
- Manage QA deliveries for assigned projects.
- Provide hands on testing support during QA phase and production validation
- Provide regular status reports to QA lead, QA manager and project manager.
- Be responsible for collecting raw data and QA metrics.
- Participate in project meetings to understand requirements and milestones.
Competencies: TECHNICAL: - Minimum 3 years software development related to quantitative, statistical and/or financial models.
- Minimum 2 years of experience programming in SAS; familiar with Base SAS, Macros, PROC SQL, and SAS Enterprise Guide.
- Minimum 3 years of model validation experience with highly quantitative applications.
- Evidence of ability to design and develop SAS programs. Experience developing and using automated unit testing and data validation.
- Prior experience with one or more of the following: RDBMS, SAS Reporting, and Excel is highly preferred.
- Prior experience with FinCAD Analytics Suite is preferred.
BUSINESS: - Knowledgeable in Risk Management concepts including Time Series conditioning/modelling, Covariance based Monte Carlo, Scenario/Stress testing, Value at Risk, Expected Shortfall, Tracking Error Volatility and attribution by risk factor group and/or security segment.
- Familiar with Fixed Income and derivative products including common fixed income analytics and risk measurement terminology and calculations.
- Moderate knowledge of statistical distributions and calculations and understanding of linear algebra required.
- Prior experience validating a risk management system is a huge plus.
GENERAL:
- Strong communication and documentation skills
- Highly self-motivated, results oriented, and capable of independent and critical thinking and problem solving skill
- Must have strong project management skill - planning, resource management, tracking progress etc.
- Must have good understanding of QA best practices and methodologies including waterfall, agile, scrum
- Must be proficient in Unix environments and ability to write complex SQL queries for validating and comparing large volumes of data between tables and schemas in Oracle/Sybase.
- Must have strong understanding of SDLC and QA's role during each phase
- Must have thorough understanding of different testing types including functional, regression, integration, UI, Backend, UAT, smoke, performance testing
- Must have ability to design and develop comprehensive test strategy, test plan and test cases
- Must have strong background in reviewing business and functional requirements in order to produce high level test strategy and test cases
- Must have good working knowledge of QC and other defect tracking systems ex) Jira
- Must have strong analytical and problem solving skills
- Must be able to work independently and be a good team player
- Must have ability to work in a highly demanding, fast paced environment managing multi projects simultaneously
- Must be knowledgeable with Windows OS platforms/Office applications ex) MS word, excel, project, etc.
- Must be knowledgeable of multi-tier architecture and networking
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