LEAD FOR QUANTITATIVE MODEL VALIDATION - NEW YORK City

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Position overview:
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 team lead and 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 validating the complex financial & statistical models used for pricing and risk analysis of assets. The candidate must be detail-oriented, capable to perform and coordinate multi-task assignments in a timely and independent fashion.

Responsibilities:

  • This role combines leadership in the team with a hands-on individual contribution. The candidate will have the opportunity to work on innovative financial models, which are used 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 to a broad set of roles including:
  • Studying functional, non-functional and analytical specifications of pricing and risk models for securitized products, exotic derivatives, fixed income asset classes, credit derivatives
  • Developing test plans and test cases
  • Validating formulae and verifying the implementations of the below areas by building independent validations algorithms in Python/Matlab/R.                  
  • Automation framework, built with state of the art technologies, for validation of the complex financial assets
  • The candidate will also have responsibilities on a daily basis to a range of areas:
  • Lead a team of smart, highly motivated financial engineers, including recruiting, training, and guiding
  • 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 of all analytics engine statistics and asset types.
  • Work with the Risk Research, Software Engineering, and Product Management teams to check requirements, and extend test case coverage.

Desired experience and qualifications:

  • Ph.D., Financial Engineering, Applied Mathematics and other Quantitative related degrees.
  • Hands on experience in quantitative model validation, especially front office, using Matlab, Python, R, C++, C#, and/or SQL
  • 5+ years’ experience leading a global team
  • Exposure to software development/testing, especially multithreaded programming and distributed caching systems to develop risk models such as VaR, stress testing, sensitivities, and counterparty credit exposure
  • Experience as a software engineer, a plus

MSCI Inc. is an equal opportunity employer committed to diversifying its workforce. It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, gender, gender identity, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy (including unlawful discrimination on the basis of a legally protected pregnancy/maternity leave), veteran status, or any other characteristic protected by law.

Job Number: 11255

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