Quantitative Risk Management Associate

  • Not Specified
  • London, England, United Kingdom
  • Permanent, Full time
  • Chicago Mercantile Exchange
  • 29 Nov 17 2017-11-29

CME Group: Where Futures Are Made CME Group (www.cmegroup.com) is the world’s leading and most diverse 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

CME Group: Where Futures Are Made CME Group (www.cmegroup.com) is the world’s leading and most diverse 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. Joining our company gives you the opportunity to make a difference in global financial markets every day – whether you work on our industry-leading technology and risk management services, our benchmark products or in a corporate services area that helps us serve our customers better. With 2,500 employees located around the world, we’re small enough for you and your contributions to be known. But big enough for your ideas to make an impact. The pace is dynamic, the work is unlike any other firm in the business, and the possibilities are endless. Problem solvers, difference makers, trailblazers. Those are our people. And we’re looking for more. 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 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.

Qualifications:

  • MS in maths, physics or any quantitative field and possesses strong quantitative, analytical and problem solving skills
  • Programming languages such as C++/C#, Matlab, VBA and SQL are essential.

Essential Experience:

  • Strong knowledge or/and experience in Commodities, and well-trained in probability theory, stochastic processes, and PDE’s.

  • Experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations, etc.)

  • Experience in developing Risk Management models for Commodities (e.g. Historical VaR, Monte Carlo, Multi-Factor, SPAN, etc.)

  • Ability to work in a team environment

  • Strong oral and written communication skills.

 

See Job Description