Senior Quantitative Risk Management Associate
The Senior 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 senior associate will also work to develop strategies to perform back-testing to ensure the adequacy of margin coverage and model assumptions.
In terms of the asset classes, this role would fit someone with at least 4+ years' of risk or trading experience in either OTC (IRS, FX, and CDS) or Commodities/Futures asset classes. In terms of financial math skills, it requires an in-depth knowledge of advanced pricing models (Options) and risk methods like Monte Carlo, Volatility Forecasting, Correlation Analysis, Liquidity Risk, etc. Expertise in statistical testing and prior experience with theoretical justifications of Risk Models is also a key requirement for this role.
This position will also entail significant interaction with the Clearing Technology Department to implement, test and maintain these risk models. Also very critical is the ability of the staff to be able to learn the understand core business principles related to Dodd-Frank and other regulatory principles 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:
• 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
• 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
Qualifications:
• MBA/MS or PhD in Finance, Economics, or a quantitative field and possesses strong quantitative, analytical and problem solving skills
• Experience (2+ yrs.) in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns' distribution, volatility, correlations, etc.)
• Preference will be given to candidate with significant experience (2+) yrs.in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
• The candidate should also be well trained in probability theory, stochastic processes, and have experience providing theoretical justifications of Risk Models they have developed.
• Programming languages such as C++/C#, R, VBA and SQL are essential.
• The successful candidate must also possess strong oral and written communication skills.
See Job Description
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