Name of Employer:

The Options Clearing Corporation

Job Title:

Senior Quantitative QA Analyst

Location:

125 S. Franklin Street, Suite 1200, Chicago, IL 60606

Duties:

Drive business analysis and generation of functional and non-functional test cases for complex business and technical deliverables. Contribute to training, cross training for the model engineering team. Implement QRM model white paper and perform model testing for options and future products such as Asian/Cliquet Option, VA/VX, energy future and EVT. Support and maintain unit testing framework in harness using R and Java development tools and develop sustainable data acquisition logic using SQL query from database sources. Perform model research and validation work, including data analysis, model certification and discrepancy analysis on model library issues using visualization, exploratory analysis and regression tools, as well as Monte Carlo simulation, GARCH, and EWMA. Review Business Requirement Document (BRD) and Functional Requirement Document (FRD) to make sure quantitative requirements are well captured. Create detailed Quantitative Requirements Document (QRD) as a reference for project team when necessary. Create Quantitative Validation Approach Document (QVAD) per QRD using mathematical measurements and calculations, statistical modeling and research. Design integration and system test plans per the QVAD. Develop programs or scripts to verify model code thoroughly. Own integration validation programs for model code. Promote the usage of the automated program to team members, colleagues, or business users. Review test programs created by team. Mentor junior team members. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required:

Master’s degree in financial engineering, mathematics or statistics and two (2) years of experience in quantitative analysis.

Special Skills Required:

Must have work experience with each of the following: 1. Implementing QRM model white paper and performing model testing for options and future products such as Asian/Cliquet Option, VA/VX, energy future and EVT; 2. Supporting and maintaining unit testing framework in harness using R and Java development tools and developing sustainable data acquisition logic using SQL query from database sources; and 3. Performing model research and validation work, including data analysis, model certification and discrepancy analysis on model library issues using visualization, exploratory analysis and regression tools, as well as Monte Carlo simulation, GARCH, and EWMA.

Salary

$117,839.00-$141,364.00

Apply:

Apply online at www.theocc.com. No calls. EOE.