Portfolio And Quantitative Risk Manager

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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.

Principal Accountabilities:
• 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.

Research and implement projects in financial derivatives pricing, data cleansing and analytics, including sensitivity analysis (such as option Greeks, risk factor and parameter analysis), scenario analysis and other relevant data analysis.
• 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.).