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, & also developing tools for Portfolio Analytics.
• He/She works in a team that performs back testing & statistical analysis required to ensure the adequacy of margin coverage & 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.

Education:

• Bachelors degree required in a technical discipline, but a Masters degree is preferred in the following disciplines- Math Finance, Applied Mathematics, Financial Engineering, Software Engineering