The Manager Quantitative Risk Management is responsible for working in a team that develops 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. The incumbent also works to perform back testing & statistical analysis required to ensure the adequacy of margin coverage & justify other model assumptions.
• Conduct empirical and research 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.
• Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME.
• Present results to Sr. Management and/or Risk Committees.
• Work on a team that enhances existing risk models as well as designs/prototypes new models across different asset classes like OTC and Futures (e.g., Pricing, Risk Models, Back testing, Stress Testing, Liquidity, etc.).
Skills & Software Requirements:
Experience with some programming languages such as C++/C#, Python, R, VBA and SQL is also required