Description CME Group is the world's leading and most diverse derivatives exchange. Our Quants team are working with complex and advanced modelling and we're looking for someone ready for a new challenge to join the London team. The Senior Quantitative Risk Associate is 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, & also developing tools for Portfolio Analytics. The incumbent also works to develop strategies to perform back-testing to ensure the adequacy of margin coverage & model assumptions.
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 products and Exchange-traded Futures and Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).
Perform risk analysis and develop risk solutions
Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME.
Document and present results to Sr. Management and/or Risk Committees.
MSc or PhD degree in Quantitative Finance, Statistics, Mathematics, Computer Science, Physics, or a relevant scientific field.
3+ years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.
2+ years in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models.
Academic experience in probability theory, statistics, and stochastic processes.
Experience providing theoretical justifications of risk models.
Skills & Software Requirements:
Proficiency in programming languages such as C++/C#, Python, R, VBA and SQL is essential.
We are operating a hybrid working pattern with the flexibility to work from home 2 or 3 days a week if preferred.
CME Group: Where Futures Are Made
CME Group (www.cmegroup.com) is the world's leading 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. With 3,500 employees located around the world, 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.