Manager Quantitative Risk Management

CME Group is the world's leading and most diverse derivatives exchange. The role will be part of the CME Clearing Quantitative Risk Management department. Our Quants team are working with complex and advanced modelling and we’re looking for someone ready for a new challenge to join the Chicago team.

The Manager Quantitative Risk Management is 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. The incumbent also works 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.
• Design and develop pricing and risk models across different asset classes like Fixed Income Cash and Derivatives, OTC and Exchange-traded Futures and Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).
• Ensure risk models meet the risk appetite across varying needs for coverage, anti-procyclicality as well as provide transparency, replicability and what-if capabilities.
• Ability to do hands-on programming in C++/Java, SQL as well as Cloud-based platforms and work with financial developers and technology to deploy, test and continuously improve the models within the Production Infrastructure of CME.
• Document and present results to Sr. Management, Risk Committees as well as regulators and end clients; work with internal and external model validators for governance needs.
• These tasks apply at an individual contributor level, as well as a team supervisor and project manager because they entail mentoring junior quantitative and financial developers.
• For instance, the successful candidate will be ultimately responsible for the long-term modelling strategy, and for the architecture of the development library (supported by a quantitative developer).

Qualifications:

• Master or Doctorate in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
• Academic skills: probability theory (including stochastic processes), statistics (time series analysis, process estimation), numerical methods (interpolation, integration, regression, root-finding, optimization, linear algebra, Monte-Carlo), Fixed Income financial mathematics.
• 4-6+ years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.
• Very strong expertise (3+ years) with Bond Mathematics, Fixed income Pricing and Risk modeling as well as with team management.
• 3+ years in developing risk models (e.g. Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models) as well as model evaluation techniques (backtesting, sensitivity analysis, coverage statistics, etc.).
• Experience providing theoretical justifications of risk models, for internal as well as external stakeholders. Also experience in developing risk model transparency and what-if analytics for risk managers, end users and regulatory stakeholders alike.
• Experience in writing model documentation and technical presentations.

The following would also be considered a plus:

• Experience in developing the type of risk models used by clearing houses and market risk teams.
• Experience with modern OO libraries, implementing pricing or risk frameworks.

Skills & Software Requirements:

• Proficiency in programming languages such as C++, Python, VBA and SQL is essential.

CME Group embraces our employees' diverse experiences, cultures and skills, and works to ensure that everyone's perspectives are acknowledged and valued. As an equal opportunity employer, we recognise the importance of a diverse and inclusive workplace and consider all potential employees without regard to any protected characteristic.