Model & Integration Testing Engineer, Derivatives Risk and Pricing
New York, NY
Posted Dec 15, 2022 - Requisition No. 112445
The Bloomberg Risk, Derivatives and Pricing team has created enterprise solutions built on our robust data and pricing infrastructure to satisfy a wide range of regulatory and business concerns for our financial services and corporate clients.
These solutions include:
- Market risk oversight and capital calculations
- Counterparty credit risk
- OTC pricing/valuation-Margining and Collateral management
- Intraday risk management
What's the role?
The Model & Integration Testing team drive the development of a platform dedicated to functional analytics and testing. As a member of the team, you will ensure that Quality Assurance ("QA") processes are in place across the system, sign off on releases, investigate reported issues and their impact, and serve as an information hub for system issues and their status.
We'll trust you to:
- Define testing requirements
- Validate market risk and contemporary pricing and risk models as applicable to all financial instruments
- Design test suites that will run on the testing platform, covering each individual component of the system, as well as, interfaces between the components and the end-to-end workflow
- Ensure that appropriate documentation is built and maintained on all processes
- Build and support automated regressions testing
- Apply QA techniques and methods to examine the output and efficiency of business processes
- Coordinate the work of new team members as the team expands
You'll need to have:
- Master's Degree (or foreign equivalent)
- Demonstrated knowledge of derivative instruments, structured notes, and derivative pricing models
- Proven Experience with Matlab, R, or SQL
- Proven experience with Perl, Python, or other scripting languages
- Demonstrated effective communication with both internal and external stakeholders
We'd love to see:
- Degree in Computer Science, Operational Research, Information Systems, Financial Engineering, Quantitative Finance, Mathematics or a related field
- Understanding of VaR, Greeks and Stress Scenario Testing
- CFA/FRM certified/Matlab/R;SQL;Perl/Python
- Automated regression testing and unit testing experience
Bloomberg is an equal opportunity employer and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or maternity/parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.
Bloomberg is a disability inclusive employer. Please let us know if you require any reasonable adjustments to be made for the recruitment process. If you would prefer to discuss this confidentially, please email firstname.lastname@example.org.
The referenced salary range is based on the Company's good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation [Exempt roles only], paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.
Salary Range: 120,000 - 170,000 USD Annually + Benefits + Bonus