Description 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 www.wherefuturesaremade.com . The Manager Quantitative Risk Management will be responsible for developing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include 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.). This Manager will develop strategies to perform back-testing of risk methodologies to ensure adequacy of different models and assumptions, and will be responsible to present and defend his work to key stakeholders.
In terms of the asset classes, this role requires experience in Commodities, specifically Natural Gas or Power, in Quantitative Risk Management or any quantitative roles. To perform the aforementioned tasks, this role requires a Subject Matter Expertise level experience in advanced pricing models (options) and numerical methods like Monte Carlo, Volatility Forecasting, PDEs, etc.
This position will also entail significant interaction with the Clearing Technology Department to lead the process of implementing, testing and maintaining these risk models. Also very critical is the ability of the staff to understand core business principles related to Dodd-Frank and other regulatory requirements as they relate to Clearinghouse Risk Management policies. As such, this role would require the ability to multi-task and operate under aggressive deadlines.
Develop and enhance existing risk models as well as design/prototype new models for derivatives (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.). Experience with the commodities asset class (energy) highly preferred
Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.
Pre-implement the research on futures/options products
Support the quant team's efforts in deployment, testing and continuous improvement of these models within the Production Infrastructure of CME
Spearhead Stress testing effort across all commodities products
MS in maths, physics or any quantitative field and possesses strong quantitative, analytical and problem solving skills
Programming languages such as C++/C#, Matlab, VBA and SQL are essential.
Strong knowledge or/and experience in Commodities, specifically Power and/or Natural Gas, and well-trained in probability theory, stochastic processes, and PDE's.
Experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns' distribution, volatility, correlations, etc.)
Experience in developing Risk Management models for Commodities (e.g. Historical VaR, Monte Carlo, Multi-Factor, SPAN, etc.)
Ability to work in a team environment
Strong oral and written communication skills.
Internal Number: 4818744
About Chicago Mercantile Exchange
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