The Quantitative Risk Associate will be responsible for developing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). This associate will also work to develop strategies to perform back-testing to ensure the adequacy of margin coverage and model assumptions.
- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.
- Enhance existing risk models as well as design/prototype new models across different asset classes like OTC IRS/FX and exchange-traded Futures/Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).
- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME.
- Present results to Sr. Management and/or Risk Committees.
- Strong quantitative and analytical background.
- Excellent programming, communication, and documentation skills.
- Knowledge of financial markets.
- Knowledge in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
- Knowledge in advanced derivatives modeling and knowledge of volatility models preferred.
- Experience with programming languages such as C++/C#, R, VBA, Python, and SQL is also required.
- Masters (and above) in Financial Mathematics/Engineering, Mathematics, Economics, Statistics, Physics or a related discipline.
CME Group: Where Futures Are Made
CME Group (www.cmegroup.com) is the world's leading derivatives marketplace. But who we are goes deeper than that. Here, you can impact markets worldwide. Transform industries. And build a career shaping tomorrow. We invest in your success and you own it, all while working alongside a team of leading experts who inspire you in ways big and small. Problem solvers, difference makers, trailblazers. Those are our people. And we're looking for more.
At CME Group, we embrace our employees' diverse experiences, cultures and skills, and work to ensure that everyone's perspectives are acknowledged and valued. As an equal opportunity employer, we recognize the importance of a diverse and inclusive workplace and consider all potential employees without regard to any protected characteristic.