Senior Quant Risk Management Associate
2 weeks ago
The Senior Quant Risk Management Associate, is responsible 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, & also developing tools for Portfolio Analytics. The incumbent also works to develop strategies to perform back-testing to ensure the adequacy of margin coverage & 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 and Futures (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.
Skills & Software Requirements:
Proficiency in programming languages such as C++/C#, R, VBA and SQL is essential.
CME Group: Where Futures Are Made
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