Quantitative Risk Management Leader

4 weeks ago


Chicago, Illinois, United States CME Group Full time
Job Summary

CME Group is seeking a highly skilled Quantitative Risk Management Leader 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 essential in ensuring the adequacy of margin coverage and model assumptions.

Key Responsibilities:
  • Design and develop pricing and risk models across various asset classes, including Fixed Income, Cash, and Derivatives.
  • Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures.
  • Ensure risk models meet the risk appetite across varying needs for coverage, anti-procyclicality, and provide transparency, replicability, and what-if capabilities.
  • Collaborate with internal and external model validators for governance needs.

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, model evaluation techniques, and providing theoretical justifications of risk models.

Preferred Qualifications:
  • 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.

About CME Group:

CME Group is the world's leading and most diverse derivatives marketplace. We invest in our employees' success and provide opportunities for growth and development. If you are a motivated and experienced professional looking to make a difference in the financial industry, we encourage you to apply for this exciting opportunity.

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