Quantitative Risk Manager

Required Skills & Experience
Experiencenot10+ years of working experience in the financial modeling field as a key contributor using simulation, regression, and time-series modeling techniques in Capital Markets (such as Clearing, Banking or Trading and Investment).not5+ years of experience in a senior role with experience with model development, validation and governance. Previous experience working with regulators or external or internal auditors is a plus.notDeep understanding of VaR, stress testing, and portfolio risk management.notStrong knowledge of methods used in pricing and analysis of derivative instrumentsnotExceptional statistics and/or econometrics skillsnotMathematical analytical skills such as Monte Carlo Simulation, Time Series Analysis, Stochastic Calculus, Linear Algebra, Optimization and Probability.notPractical systems experience and strong programming skills. Ability to design and implement models in Python.notMaster’s degree in Physics, Mathematics, Econometrics or a related quantitative field.notDemonstrated knowledge of securities finance, asset pricing/modeling, and risk analytics
Job Description
Cboe Clear U.S. operates a CFTC-registered Derivatives Clearing Organization offering digital assets futures and is pending registration as an SEC Covered Clearing Agency to clear novel Binary KPI Options. We are looking for a Quantitative Risk Manager to join our growing Risk Management team. This position will report directly to the Chief Risk Officer.n nResponsibilitiesnModels and Risk Framework DesignnotIndependently create derivatives valuation and portfolio margin models that will be used by the Clearinghouse for valuation of complex portfolios of exchange-traded futures and options under different market conditions; and for calculating Clearing Member margin requirements.notThe process of creating such models and analytics will include writing whitepapers indicating industry references, use of data and assumptions, model details and back-testing results. There is an expectation that you will be required to provide insights into model functionality, capabilities, and limitations to senior management, Risk Management Committee, auditors and regulators.notCreate frameworks for portfolios stress testing and analysis to capture various types of risk to the Clearinghouse and translate the findings into recommendations for financial resources planning.notCreate frameworks and processes for designing default management auctions as well as performing analysis of slippage incurred in the event of liquidation of Clearing Member portfolios under default scenarios taking into account volume, market depth/spread, market conditions and different hedging options.notResearch to support new instruments listing on participating exchanges for Clearing. Stay abreast of developments in the field of financial risk modeling particularly related to Clearinghouses.nGovernancenotCreate a structure of model governance, version control and change management including change approval structure. Help develop Policies and Procedures for Model Risk Management as well as meet with or respond to requests from regulators or auditors for information.notUnderstand regulatory requirements in relation to monitoring and calibration of risk models and help design and implement appropriate monitoring tools. Be able to defend assumptions of models to regulatory agencies as a part of audits and new model proposals. notDesign 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.notOwn the task of having the margin model, model system, and broader financial risk management framework validated by an independent third party. Follow up on recommendations and gaps identified by any such validation.nImplementationnotIdentify sources of data that will drive various risk models and reports and design pipeline for data ingestion and schema for data storage.notWrite technical specifications for developers to implement quantitative models and other risk calculations. Work with developers on deployment of risk models and tools taking into account contingency and business continuity planning.notHelp write automated QA tests as well as processes for manual code and model output review and approval.