Manager for Quant Risk Management group

This position is fully on site in our Chicago office.DescriptionCME Group is the world's leading and most diverse derivatives exchange. The role will be part of the CME Clearing Quantitative Risk Management department. Our Quants team are working with complex and advanced modelling and we're looking for someone ready for a new challenge to join the Chicago team.The Manager Quantitative Risk Management 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.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.Design and develop pricing and risk models across different various asset classes like Fixed Income Cash and Derivatives, OTC and Exchange-traded Futures and Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).Ensure risk models meet the risk appetite across varying needs for coverage, ant-procyclicality as well as provide transparency, replicability and what-if capabilities.Ability to do hands on programming in C++/Java, SQL as well as Cloud based platforms and work with financial developers and technology to deploy, test and continuously improve the models within the Production Infrastructure of CME.Document and present results to Sr. Management, Risk Committees as well as regulators and end clients; work with internal and external model validators for governance needs.These tasks apply at an individual contributor level, as well as a team supervisor and project manager because they entail mentoring junior quantitative and financial developers.For instance, the successful candidate will be ultimately responsible for the long-term modelling strategy, and for the architecture of the development library (supported by a quantitative developer).QualificationsThe requirements are for: 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)Fixed Income financial mathematicsExperience: 6+ years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.Very strong expertise (3+ years) with Bond Mathematics, Fixed income Pricing and Risk modeling as well as with team management3+ years in developing risk models (e.g. Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models) as well as model evaluation techniques (backtesting, sensitivity analysis, coverage statistics, etc.)Experience providing theoretical justifications of risk models, for internal as well as external stakeholders. Also experience in developing risk model transparency and what-if analytics for risk managers, end users and regulatory stakeholders alike.Experience in writing model documentation and technical presentationsThe following would also be considered a plus:Experience in developing the type of risk models used by clearing houses and market risk teamsExperience with modern OO libraries, implementing pricing or risk frameworksSkills & Software Requirements:Proficiency in programming languages such as C++, Python, VBA and SQL is essential.#LI-DS#LI-Onsite#diceCME Group is committed to offering a competitive total rewards package for our employees that recognizes their contributions to the business and reflects our long-term investment in their future. The salary range for this role is $145,100-$241,800. Actual salary offered will be dependent on a wide array of factors including but not limited to: relevant experience, skills, education and comparison to internal employees (where relevant). Our compensation program also includes an annual target bonus opportunity for all employees, as well as the opportunity to become an owner in the company through our broad-based equity program. Through our Benefits program, we strive to offer flexibility, value and choice. From comprehensive health coverage, to a retirement package that includes both a 401(k) and an active Pension Plan, to highly competitive education reimbursement provisions, paid time off and a mental health benefit, CME Group offers a holistic Benefits package for our team and their dependents.CME Group : Where Futures are MadeCME Group 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 by 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.SummaryLocation: Chicago - 20 S. WackerType: Full time