Quant Risk Management Associate

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.
  

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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.

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