Quant Risk Intern

The Quantitative Risk Intern will work in a team developing and enhancing Risk/Pricing Models for evaluating counterparty exposures to the Clearing House, covering areas like Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and Portfolio Analytics tools. Responsibilities include conducting empirical studies, making recommendations on margin levels, ensuring model deployment and continuous improvement within CME's production infrastructure, and presenting results to senior management and risk committees.

Must Have

• Work in a team developing Risk/Pricing Models evaluating counterparty exposures.
• Perform back testing and statistical analysis to ensure margin coverage.
• Conduct empirical studies and make recommendations on margin levels.
• Ensure deployment, testing, and continuous improvement of models.
• Present results to Sr. Management and/or Risk Committees.
• Enhance existing risk models and design/prototype new models.
• Experience with programming languages such as C++/C#, R, VBA, and SQL.
• Bachelor’s degree in a technical discipline.

Good to Have

• Master’s degree in Math Finance, Applied Mathematics, Financial Engineering, or Software Engineering.

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:

• 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