Senior Quantitative Risk Analyst

Chicago Board Options Exchange • Chicago, IL

80d • $106,250 - $131,250 • Hybrid

About The Position

Cboe Clear U.S. is a subsidiary of Cboe Global Markets and operates as a CFTC-regulated Derivatives Clearing Organization approved to clear futures and fully-collateralized swaps. The Senior Quantitative Market Risk Analyst role is within the clearinghouse's Risk Management department and will report to the Chief Risk Officer. In this role you will support and help improve existing analyses to measure, monitor, and manage financial risk the Clearinghouse is exposed to from the portfolios cleared on behalf of its Clearing Members. Additionally, as the products listed by the Clearinghouse expand you will be primarily responsible for developing new metrics and reporting based on the unique risk characteristics of the new products. In addition to designing the appropriate analyses, you will help monitor the day-to-day automated reporting and provide periodic summaries for senior management to help drive decision-making. Finally, you will support the on-going assessment of the Risk Management department's current processes and capabilities, recommend enhancements as they are identified, and lead efforts to implement them.

Requirements

• 5+ years of working experience in the financial modeling field as a key contributor using simulation, regression, and time-series modeling techniques in a Clearinghouse or clearing broker/dealer or FCM.
• Bachelor's degree in Mathematics, Statistics, Financial Mathematics, or a related quantitative field. Master's degree preferred.
• Previous experience developing VaR or monte carlo-based margin and/or stress models and related backtesting.
• Ability to design and implement models and backtesting frameworks in Python using data stored in relational databases and third-party APIs.
• Ability to write SQL queries to support model development / maintenance, investigate backtesting exceedances, and identify issues with margin system outputs.
• Experience using version control or source code management systems, i.e. github.
• Strong knowledge of methods used in pricing and analysis of derivative instruments.
• Previous experience working with U.S. financial regulators a plus.

Responsibilities

• Maintain existing margin models and develop additional models with supporting backtesting frameworks as needed that will be used by the Clearinghouse to margin complex portfolios of listed futures and options under different market conditions.
• Design frameworks for portfolio stress testing and analysis to capture various types of risk to the Clearinghouse and translate the findings into recommendations for financial resources planning.
• Maintain the Clearinghouse's margin model whitepaper and defend assumptions to risk committees, internal and external auditors, as well as regulators.
• Programmatically validate daily output related to margin rates, margin model backtesting, and portfolio margin requirements and investigate any exceptions to identify if model parameters need to be updated, data quality issues need to be addressed, or source code changes are required.
• Prepare summaries of margin rates and portfolio margin requirements for existing products as well as new products and present those to risk committees and regulators as a part of ongoing monitoring and new product reviews, respectively.
• Support the default management auction process including performing analysis of slippage incurred in the event of liquidation of Clearing Member portfolios under default scenarios based on volume, market depth/spread, market conditions, and different hedging options in related markets.
• Stay abreast of developments in the field of financial risk modeling particularly related to Clearinghouses.

Benefits

• Fair and competitive salary and incentive compensation packages with an upside for overachievement
• Generous paid time off, including vacation, personal days, sick days and annual community service days
• Flexible, hybrid work environment
• Health, dental and vision benefits, including access to telemedicine and mental health services
• 2:1 401(k) match, up to 8% match immediately upon hire
• Discounted Employee Stock Purchase Plan
• Tax Savings Accounts for health, dependent and transportation
• Employee referral bonus program
• Volunteer opportunities to help you give back to your communities
• Complimentary lunch, snacks and coffee in any Cboe office
• Paid Tuition assistance and education opportunities
• Generous charitable giving company match
• Paid parental leave and fertility benefits
• On-site gyms and discounts to other fitness centers

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Administrative and Support Services
• Education Level: Bachelor's degree
• Number of Employees: 1,001-5,000 employees