Senior Quantitative Risk Analyst

Senior Quantitative Market Risk Analyst

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At Cboe Global Markets, we inspire our people to solve complex challenges together because what we do matters. We provide the financial infrastructure that powers the global economy. As a leading provider of market infrastructure and tradable products, Cboe delivers cutting-edge trading, clearing and investment solutions to market participants around the world.

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Location Overview

Cboe HQ is located in the historic Old Post Office district, it's a landmark that blends classic architecture with modern amenities. The building features expansive spaces with high ceilings and large windows, offering an abundance of natural light and panoramic views of the city skyline and the Chicago River. With its prime location in the heart of downtown, the OPO Building provides easy access to major transportation hubs, including Union Station and multiple CTA lines, making it convenient for commuters. The building is home to a variety of amenities, including restaurants, a fitness center, and collaborative workspaces, creating a vibrant and dynamic work environment in one of Chicago's most iconic areas.

About the Role :

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.

Key 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.

Your Profile :

Why Join Cboe Clear U.S.?

Benefits and Perks of working for Cboe Global Markets

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More About Cboe Global Markets

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