Quantitative Risk Manager
Core
Design and validate quantitative risk models for a derivatives clearinghouse, managing portfolio margin requirements and stress testing for complex futures and options portfolios.
Role type
Senior quantitative risk manager (derivatives clearing)
Builds
Production risk models, margin calculation frameworks, and stress testing analytics for a CFTC-registered clearing organization.
Domain
Financial services, derivatives clearing, risk management
Deliverable
production ML models
Required skills
Derivatives pricing and analysis, VaR and stress testing, Monte Carlo simulation, Time series analysis, Stochastic calculus, Python programming, Model governance and validation
Preferred skills
Experience with regulators or auditors, Securities finance knowledge
Technologies
Python
Responsibilities
Create derivatives valuation and portfolio margin models; Design frameworks for portfolio stress testing and default management auctions; Establish model governance, version control, and change management processes; Identify data sources and design pipelines for risk model implementation; Write technical specifications for model deployment and automated QA tests.
Seniority
Senior, hands-on IC