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Quant Risk Management Associate

CME Group
Quant Risk Management Associate
Chicago, US
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Job Description

The Quantitative Risk Associate 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 associate will also work to develop strategies to perform back-testing to ensure the adequacy of margin coverage and model assumptions.

Principal Accountabilities:

  • 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.

  • Enhance existing risk models as well as design/prototype new models across different asset classes like OTC IRS/FX and exchange-traded Futures/Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).

  • Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME.

  • Present results to Sr. Management and/or Risk Committees.


  • Strong quantitative and analytical background.

  • Excellent programming, communication, and documentation skills.

  • Knowledge of financial markets.

  • Knowledge in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.

  • Knowledge in advanced derivatives modeling and knowledge of volatility models preferred.

  • Experience with programming languages such as C++/C#, R, VBA, Python, and SQL is also required.


  • Masters (and above) in Financial Mathematics/Engineering, Mathematics, Economics, Statistics, Physics or a related discipline.
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