Quant Risk Management Intern - Year Round

Job description

CME Group is currently looking for a Quantitative year-found intern in our New York office. This candidate will assist our quantitative risk research on day-to-day activities in support of CME Securities Clearing business. He will work in a team that develops Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics. The incumbent also works to perform 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. - 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.). Req...