Manager, Quantitative Risk Management

Locations: London
ID: 13880

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.

The role will be part of the Quantitative Risk Management department, which is charged with researching, developing, implementing and supporting the Clearing House analytics used for risk and default management.These analytics include in particular

• models (calibration, simulation, pricing, sensitivities, Value-at-Risk, liquidity, regulatory capital)
• testing frameworks (back-testing, stress testing, unit and regression testing)
• tools dedicated to clients’ portfolio management (sensitivities, risk reports, margin adequacy, collateral)

The successful candidate will lead the team responsible for the Equity asset class. He or she will also contribute to the FX framework, and to feasibility studies on new products (including complex derivatives) for the benefit of senior management.

The position is based in London, with team members located in London, New York, Chicago and Bangalore.

The role will require in particular to:
• Research, design and improve the specification of models/algorithms
• Implement these analytics in the development library (C#) within a version control environment (Git)
• Implement automated tests (unit, regression) for these analytics
• Document both the mathematical specification and the code (Latex, Doxygen)
• Perform functional testing of these analytics (statistical analysis, back-testing, stress testing)
• Support the developers in charge of transferring the model to the production engine (C++) and review their implementation.
• Interact with both internal and external stakeholders. That stream includes attending product meetings with clients, presenting to risk committees, liaising with independent validators, and contributing to the regulatory approval of the models.
• Support the analytics once in production (ongoing monitoring, configuration control, operations support, clients queries)
• Manage the Equity derivatives projects and team on a daily basis (planning, task supervision, HR)

Qualifications
• Master or Doctorate in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.

Academic skills
• probability theory (including stochastic processes)
• statistics (time series analysis, process estimation)
• numerical methods (interpolation, integration, regression, root-finding, optimization, linear algebra, Monte-Carlo)

Experience
• Experience in developing models (design and implementation) for pricing or risk management of derivatives,
• preferably in the fixed income asset class (credit or interest rates).
• Experience in writing model documentation and technical presentations.
• Experience with compiled, object-oriented programming languages such as C++ or C#.
• Good communication skills and the ability to manage a team.

The following would be considered a plus
• Experience in developing the type of risk models used by clearing houses and market risk teams.
• Experience with modern OO libraries, implementing pricing or risk frameworks.
• Proficiency in R, VBA or SQL.
• Experience with code versioning systems such as SVN or Git.
• Experience with code documentation software, such as Doxygen.
• Experience in managing a team.

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.


 

 





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