Quant Risk Intern

The Quantitative Risk Intern is responsible for working in a team that develops Risk/Pricing Models evaluating counterparty exposures to the Clearing House, including models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics. He/She works in a team that performs back testing and statistical analysis required to ensure the adequacy of margin coverage and justify other 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.
• 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++/C#, R, VBA and SQL is also required. Bachelor's degree required in a technical discipline, but a Master's degree is preferred in the following disciplines: Math Finance, Applied Mathematics, Financial Engineering, Software Engineering.

CME Group: where futures are made

CME Group is the world's leading derivatives marketplace. Here, you can impact markets worldwide, transform industries, and build a career by shaping tomorrow. At CME Group, we embrace our employees' unique experiences and skills to ensure that everyone's perspectives are acknowledged and valued. As an equal-opportunity employer, we consider all potential employees without regard to any protected characteristic.