Director Quantitative Risk Management
The Quantitative Risk Director will be responsible for leading the development of 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 Director will also lead the development of strategies to perform back-testing of risk methodologies to ensure adequacy of different models and assumptions, and will be responsible to present and defend his work to key stakeholders.
In terms of the asset classes, this role requires at least 5 years' experience in the OTC (IRS, FX, and CDS) or Commodities/Futures asset classes, in Risk Management or Trading roles and ideally 7+ yrs. total experience in Financial Risk Management and/or Trading. To perform the aforementioned tasks, this role requires a Subject Matter Expertise level experience in advanced pricing models (options) and numerical methods like Monte Carlo, Volatility Forecasting, PDEs, etc.
This position will also entail significant interaction with the Clearing Technology Department to lead the process of implementing, testing and maintaining these risk models. Also very critical is the ability of the staff to understand core business principles related to Dodd-Frank and other regulatory requirements as they relate to Clearinghouse Risk Management policies. As such, this role would require the ability to multi-task and operate under aggressive deadlines.
Principle Responsibilities:
¿ Lead the enhancement of existing risk models as well as design/prototype new models across different asset classes related to Commodities Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.). Prime sub-asset classes of focus would be energy, metals, equity futures, and agriculture.
¿ Lead the quant team's efforts in deployment, testing and continuous improvement of these models within the Production Infrastructure of CME
¿ Provide a comprehensive oversight on model coverage and detailed model validation issues post deployment
¿ 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.
¿ Present results to Sr. Management and/or Risk Committees
¿ Manage junior Quantitative staff and mentor/develop skills among junior quants.
¿ Spearhead Stress Testing effort across all asset classes
¿ Lead the pre-implementation research on future products (XCCY, Inflation)
¿ Assist with model validation across all asset classes (liaison to the model reviewer
Qualifications:
¿ MBA/MS or PhD in Finance, Economics, or a quantitative field and possesses strong quantitative, analytical and problem solving skills
¿ Significant experience (5+ yrs.) in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns' distribution, volatility, correlations, etc.)
¿ Significant experience (5+) yrs. with developing Risk Management models for Futures/Commodities asset classes (e.g. Historical VaR, Monte Carlo, Multi-Factor, SPAN, etc.)
¿ Preference given to candidates with strong knowledge or experience in other asset classes like Interest Rates, Credit and FX asset classes and well trained in probability theory, stochastic processes, and PDE's.
¿ Ability to work in a team environment and lead/manage mid-level and junior quants.
¿ Programming languages such as C++/C#, Matlab, VBA and SQL are essential.
¿ The successful candidate must also possess strong oral and written communication skills.
See Job Description
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