Quant Risk Management Associate
7 months ago
**Description**
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.
Principal Accountabilities:
- 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.
**Requirements**:
- 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.
**Education**:
- Masters (and above) in Financial Mathematics/Engineering, Mathematics, Economics, Statistics, Physics or a related discipline.
LI-JT
LI-Onsite
CME Group: Where Futures Are Made
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