- Code development of new quantitative risk models within the CME C++ production risk library (based on mathematical specifications and research code)
- Writing unit and functional test cases and obtaining test data from systems or other groups
- Work with the QA teams to ensure correctness not only within the risk library itself but also the integration into the wider system infrastructure (e.g. data integrity, correct usage)
- Work with IT teams to help bring the code into production
- Agreeing on time lines, milestones, interfaces, required data, format, and providing documentation and usage assistance
- Lead or manage junior quantitative developers and mentor/develop skills among junior quant developers
- Responsible for code reviews, design discussions and documentation
- Collaborate with offshore development teams and coordinate projects to guarantee a timely delivery
- 4-6+ years of experience
- Excellent knowledge of C++
- Possession of good analytical, mathematical, and problem solving skills, with good quantitative skills being a plus
- Ability to read and understand mathematical and algorithmic specifications
- Good knowledge of Java and/or C#
- Working knowledge of versioning systems (e.g. git) and development environments (e.g. Visual Studio, Eclipse)
- System experience with Linux/Unix environments, databases, Latex documentation system is a plus
- Ability to manage or lead junior developers (onshore and offshore) and to collaborate with other teams (onshore and offshore)
- Good presentation/writing skills on code documentation, white papers, etc. as well as strong oral and written communication skills
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Manager Quantitative Risk Development - Chicago, IL, United States - CME Group
Description
Role is based in our Chicago, IL office and is fully on site.We don't support remote or out of state working options.
CME Group is the world's leading and most diverse derivatives exchange. The role will be part of the CME Clearing Quantitative Risk Management department. We're looking for someone ready for a new challenge to join the Chicago team.
The Manager Quantitative Risk Development is responsible for developing risk library which incorporates Risk/Pricing Models that evaluate counterparty exposures to the Clearing House.
Principle Accountabilities:The requirements are for:
Master or Doctorate in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
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CME Group ) is the world's leading derivatives marketplace. But who we are goes deeper than that. Here, you can impact markets worldwide. Transform industries. And build a career shaping tomorrow.
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