Director Quantitative Risk Management

  • Not Specified
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Chicago Mercantile Exchange
  • 21 May 18 2018-05-21

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

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. Dir Quant Risk Mgmt is responsible for development & implementation of Risk Models that evaluate counterparty exposures to the Clearing House; including models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). He/She designs the Risk Library, the C++ library developed & supported by the quant research team. Risk Library is designed to be used in production. Principal Accountabilities:
• Contribute to the analytic development of Risk models.
• Develop the structure of the Triumph Risk Library. Ensure documentation support.
• Develop/enhance risk models as well as design/prototype new models across different asset classes.
• Guide development of enhanced QA system.
• Manage junior Quantitative staff and mentor/develop skills among junior quants.
• Present results to Sr. Management and/or Risk Committees Skills & Software Requirements:
Java/C# is a plus. Java Native Interface for C++ is used as a production API. Good understanding of C++ design patterns, thread safety (multithreading), exception safety, etc. Good knowledge of numerical methods such as Monte Carlo, pde, backward/forward induction, lattice methods, optimization, linear algebra algorithms, etc.

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