Manager Quantitative Risk Management
CME Group
- London
- Permanent
- Full-time
- 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 various 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, ant-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.
- 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
- 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
- Proficiency in programming languages such as C++, Python, VBA and SQL is essential.