Senior Quantitative Risk Management Associate

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Chicago Mercantile Exchange
  • 20 Feb 19

Senior Quantitative Risk Management Associate

CME Group 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. 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.

To learn more about what a career at CME Group can offer you, visit us at .

Senior Quantitative Risk Associate
Job Description

  • Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures.
  • 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.).
  • Present results to Sr. Management and/or Risk Committees.
  • Maintain and improve the daily operational and risk management processes under which the Clearing House functions.
  • Develop quantitative approaches for statistical margin methodologies to appropriately collateralize Clearing House.
  • Provide a comprehensive oversight on model coverage and detailed model validation issues post deployment.
  • Ensure that the model is up to date with the proven theories in the field.
  • Develop tools to evaluate the risk in accordance with core business principles related to Dodd-Frank and other Regulatory Capital charge.

Position Requirements

Education & Experience: Master's degree + related QR experience.
Field of Degree: 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.
  • The candidate should also be well trained 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 concensus-building.

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