Quantitative Risk Management Group Manager
4 weeks ago
CME Group is seeking a highly skilled Quantitative Risk Management Group Manager to join our team in Chicago. As a key member of our Quantitative Risk Management department, you will be responsible for developing and implementing risk models that evaluate counterparty exposures to the Clearing House. Your expertise in pricing complex derivatives and performing advanced statistical analysis will be invaluable in this role.
Key Responsibilities
- Develop and maintain risk models that meet the risk appetite of the organization, including pricing, value-at-risk, stress testing, and liquidity risk models.
- Collaborate with cross-functional teams to design and implement risk management strategies that ensure the adequacy of margin coverage and model assumptions.
- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures.
- Develop and maintain tools for portfolio analytics and risk reporting.
Requirements
- Master's or Doctorate degree in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
- 6+ years of experience in pricing complex derivatives and performing advanced statistical analysis.
- Strong expertise in bond mathematics, fixed income pricing, and risk modeling.
- Experience in developing risk models, including historical VaR, Monte Carlo VaR, multi-factor risk models, and stressed VaR.
- Experience in providing theoretical justifications of risk models and developing risk model transparency and what-if analytics.
What We Offer
- A dynamic and collaborative work environment.
- Opportunities for professional growth and development.
- A competitive salary and benefits package.
About CME Group
CME Group is the world's leading and most diverse derivatives marketplace. We are committed to providing our customers with the best possible trading experience and to being a leader in the derivatives industry. We are proud to be a part of the Chicago community and to be a major contributor to the city's economy.
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