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By John Stabinger
Posted on 2 April 2020 | 2:40 pm
Alumni / Benefits & Services / Alumni Career Services

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Manager Quant Risk Management
CME Group
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Manager Quant Risk Management

CME Group

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Details
Posted:
September 16, 2023
Location:
London, United Kingdom
Salary:
Open
Type:
Full Time
Description
The Quantitative Risk Manager is responsible for developing & sometimes 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, & also developing tools for Portfolio Analytics. He/She also works to develop & sometimes lead the development of strategies to perform back-testing to ensure the adequacy of margin coverage & 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 ETD 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.
??? Manage junior Quantitative staff and mentor/develop skills among junior quants.
??? Present results to Sr. Management and/or Risk Committees.

Skills & Software Requirements:
??? Master or Doctorate in Financial Engineering, Financial Mathematics, Applied Mathematics, Statistics, Economics, or a related discipline.
??? 3+ years of related quant experience
??? Academic skills: strong in math, probability theory (including stochastic processes), and statistics (time series analysis, process estimation, etc).
??? Experience in developing models (design and implementation) for pricing complex derivatives (e.g. Options), preferably Commodity (e.g. Energy) and Equity products.
??? Experience with compiled, object-oriented programming languages such as C++ or C#
??? Proficiency in R, Python, VBA or SQL.
??? Experience in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models.
??? Experience with code versioning systems such as Git.

Location is London.

CME Group: Where Futures Are Made

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.

At CME Group, we embrace our employees' diverse experiences, cultures and skills, and work to ensure that everyone's perspectives are acknowledged and valued. As an equal opportunity employer, we recognize the importance of a diverse and inclusive workplace and consider all potential employees without regard to any protected characteristic.
The Candidate Privacy Policy can be found here.

Internal Number: 20135427
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