Description The Quant Risk Management Analyst Consultant will assist in developing risk and pricing models that evaluate counter-party exposures to the Clearing House. This includes models related to pricing, Value-at-Risk, stress testing, liquidity, and regulatory capital, and also developing tools for portfolio analytics (e.g. sensitivities, risk reports, and margin adequacy). The consultant will also perform the back testing and statistical analyses required to ensure the adequacy of margins and to justify model assumptions.
This position is a full-time contract position with initial duration 1 year. Consultants who exhibit exceptional performance in their work at CME Group may have an opportunity to extend the contract length.
Requirements: - Masters(and above) in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline. - 0-2 years working experience on market risk models, i.e. value-at-risk model, stress testing, portfolio scenario risk analysis. - Strong knowledges (academic or work related) of pricing complex derivatives and Greeks sensitivity analysis. - Solid understanding on time-series data analysis and statistical analysis method, i.e. volatility/correlation clustering, hypothesis test and simulations on underlying risk factors. - Academic experience in probability theory, statistics, and stochastic processes. - Experience providing theoretical justifications of risk models. - Experience with programming languages such as C++/C#, R, VBA, and SQL is also required. - Advanced practical knowledge on Microsoft Excel is a must.
Preferred: - Exposures on commodities/equity Futures and Options derivatives. - Exposures on Git and Latex. - Candidates who can demonstrate the best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
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. Problem solvers, difference makers, trailblazers. Those are our people. And we're looking for more.