Sr. Quantitative Risk Modeling Analyst

Location: Remote (company is Chicago based)

Compensation: Exceptional

Full-time

The job:

Our client is seeking a highly talented Sr Quantitative Risk Modeling Analyst to join our growing Risk Management team. This position will report directly to the Chief Risk Officer.

• Research and implement derivatives valuation and portfolio margin models that will be used by the Clearinghouse for valuation of complex portfolios of financial derivatives under different market conditions; and for calculating Clearing Member margin requirements.


• Provide insight into model functionality, capabilities, and limitations.


• Perform detailed market and stress analysis to capture various types of risk to the Clearinghouse and translate the findings into recommendations for financial resources planning.


• Perform analysis of slippage incurred in the event of liquidation of Clearing Member portfolios under default taking into account volume, market depth/spread, market conditions and different hedging options.


• Identify sources of data that will drive various risk models and reports and design pipeline for data ingestion and schema for data storage.


• Design and implement suitable and effective ongoing monitoring plans including performance metrics, thresholds, and escalation plans.


• Design reports and dashboards to be distributed to key stakeholders.


• Write technical specifications for developers to implement quantitative models and other risk calculations.


• Work with developers on deployment of risk models and tools taking Proprietary and Confidential.


• Perform code review and QA testing.


• Research to support new instruments listing on the Exchange or for Clearing.


• Understand regulatory requirements in relation to monitoring and calibration of risk models and help design and implement appropriate monitoring tools.


• Help develop Policies and Procedures for Model Risk Management as well as meet with or respond to requests from regulators or auditors for information.


• Stay abreast of developments in the field of financial risk modeling particularly related to Clearinghouses.

You Have

• 5+ years of working experience in financial modeling field as a key contributor using simulation, regression, and time-series modeling techniques Capital Markets (such as Clearing, Banking or Trading and Investment)


• Deep understanding of the concepts of VaR, stress testing and portfolio risk management


• Strong knowledge of methods used in pricing and analysis of derivative instruments


• Exceptional statistics and/or econometrics skills


• Mathematical analytical skills such as Monte Carlo Simulation, Time Series Analysis, Stochastic Calculus, Linear Algebra, Optimization and Probability.


• Practical systems experience and strong programming skills. Ability to design and implement models in R, Python, or Matlab.


• Masters degree in Physics, Mathematics, Econometrics or a related quantitative field.


• Demonstrated knowledge of securities finance, asset pricing/modeling, and risk analytics