The Quantitative Risk Team in the Risk Management Department is responsible for developing, analyzing, and back-testing models for clearing initiatives. Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing. The candidate must have the ability to efficiently, effectively conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time.
Candidates should also be willing to relocate to Chicago at their own costs.
Qualifications:
Masters in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
Superb quantitative and analytical background.
Excellent programming, communication, and documentation skills.
Knowledge of financial markets.
Work experience or education in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
Work experience or education in advanced derivatives modeling and knowledge of volatility models preferred.
Work experience or education in curve construction and data validation preferred.