Quant Risk Management Analyst - Model Testing

Locations: Bangalore
ID: 13760

Description

CME Group: Where Futures Are Made

CME Group (www.cmegroup.com) is the world’s leading and most diverse 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 2,500 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.

CME Group: Where Futures Are Made

CME Group (www.cmegroup.com) is the world’s leading and most diverse 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 2,500 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.

Role Purpose :
The hire will work with Quants/Technology teams, Clearing ops and Solutions teams in successfully testing and debugging of the Risk Margin models and Market Risk monitoring tools for various Products across IRS, CDS, Repo, SIMM and F&O. The major job includes ensuring that the logic and algorithms developed match the requirements/C# prototypes provided by the quant team, and identifying any potential inconsistencies between them. The Analyst will also help the Technology folks with daily support for debugging any production issues, their integration issues providing subject matter expertise when needed and help trouble shoot and provide timely analysis. Provide Margin analysis and attend to client requests that we get from the quant team, CORE and Deployable margin teams. The Analyst also is expected to be part design and building of the new Market Risk Analytics tool by leveraging the existing historical data and providing with tools to mitigate risks in case of a market meltdown. The team is expected to work on these important initiatives as below and the expected number of people to adequately support them.

· 2017 OTC Priorities – 1) Any new CME and CCE IRS initiatives: KRW, INR, CNY, Extending of SGD/HKD to 20 years, 2) OTC FX offering, including DSF/CSF, rolling Spot, and Options, 3) EUR Swaptions, 4) Option Settlement System: USD Swaption, FX Option, EUR Swaption, 5) Testing for Olympus

· 2016 in progress into 2017- Margin services for CORE and Deployable teams, Calypso upgrade, Clearing Repo, SIMM implementation etc.

· Risk Library release regression testing, mismatch investigation, deployable library release testing support, and Triumph Risk engine daily and integration/release support

· CMBX development

· The new F&O margin model work + SPAN under Risk Library initiatives + Deployable F&O library

· Market Risk Analytics tools + In house dev. work to build tools + Off shore support



PRINCIPAL ACCOUNTABILITIES:

· Understand and Test the different Margin models for various asset classes (IRS, Repo, OTC FX and F&O)

· Work with Technology teams to integrate various Risk Library releases and help providing baseline numbers and trouble shoot mismatches

· Build different tools to help with the automation of test cases using C#/C++/Ruby scripts and Java

· Work on Market Risk analytics tools and work with the Offshore team to standardize it to a Production system

Education :
•Specify the minimum level of formal education and the minimum level of experience required to perform the job. Candidates with financial engineering background would be ideal.
•Indicate any certifications or licenses required to perform the functions of the job. For example, CPA, State Bar License, Certified Network Engineer. None
•Specify the development software/operating systems, etc. that the incumbent is expected to be proficient in to perform the job: C++, C#, Matlab, and Java

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.
• 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, VaR, Backtest, Stress, Liquidity, etc.).

Skills & Software Requirements:
Experience with some programming languages such as C++ or C#(Must), R, VBA and SQL is also required. The domain i.e. pricing modelling or risk modelling experience is must

The successful individual will be/have:

· Able to work in a fast paced environment. Multi-tasking and attention to detail are critical.

· Process oriented.

· Strong organization skills.

· Self-motivated and good under pressure..

· Ability to prioritize effectively and handle shifting priorities professionally.

· Ability to work independently with minimal supervision.

Special Instructions:
Locations: Bangalore
Category: Technology
As the world’s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. Based in Chicago, with offices in New York, London, Singapore, Calgary, Houston, São Paulo, Singapore, Tokyo and Washington D.C., our team of more than 2,500 employees has an impact on the global economy every day. We offer:
 
  • The widest range of global benchmark futures and options available across all major asset classes;
  • The most advanced trading technology;
  • Industry-leading clearing and risk management capabilities;
  • A relentless customer focus, serving leading investment and commercial banks, hedge funds, proprietary trading firms, pension funds, sovereign wealth funds, asset managers, corporations and individual traders; and,
  • A great place to work.
 
With this strong foundation in place, we are looking to continue growing our business in both listed and over-the-counter markets. To support this growth, we are seeking highly motivated individuals to help foster our corporate culture and uphold our core values of leading with conviction and integrity, advancing the global economy, building lasting relationships and acting with ingenuity every day. 
 
We hope you will consider joining our world-class team.


 

 





Are you a returning applicant?

Previous Applicants:

If you do not remember your password click here.

Back to Search Results

New Search


Powered By Taleo