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Quantitative Risk Management Associate
Chicago Mercantile Exchange
Chicago, IL, United States
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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.
Job Description:
• Assist the team in developing Risk Models that evaluate counter-party exposures to the Clearing House, including models related to Value-at-Risk and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, and Margin Coverage).
• Assist the team in developing Pricing Models that accurately capture the mark-to-market of cleared products.
• Interact with the Clearing Technology Department to implement new margining models and expand company business.
• Support and maintain existing models within the Production Infrastructure, assisting production issues like bug fixing, testing and continuous improvement.
Position Requirements:
• Education & Experience: Master’s degree + 1 year of related QR experience.(Finance, Mathematics, Economics, Statistics or related field).
• Work experience in risk for either OTC (IRS, FX, CDS, and/or equity) or exchange traded (futures and options) asset classes.
• Experience 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 experience in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc. 0.5 Year
• The candidate should also be well versed 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.
• Experience working with senior management requiring consensus-building.