Senior Director Quantitative Risk Management

Lead the development of Risk and Pricing Commodity Models that evaluate counterparty exposures to the Clearing House, including models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and developing tools for Portfolio Analytics. Lead the development of strategies to perform back- testing of risk methodologies to ensure adequacy of different models and assumptions. Present and defend projects to key stakeholders. 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. Lead the enhancement of existing risk models as well as design and prototype new models across different asset classes related to Commodities and Futures. Oversee the quantitative teams efforts in deployment, testing, and continuous improvement of these models within internal Production Infrastructure. Manage, mentor, and develop skills among junior quantitative staff members. Present results to Senior Management and/or Risk Committees. Provide comprehensive oversight on model coverage and detailed model validation issues post deployment. 40 hrs/week, Mon-Fri, 8:30 a.m. - 5:30 p.m. Salary: $219,752 - $316,800/yr. Standard Company Benefits. MINIMUM REQUIREMENTS: Masters degree or foreign equivalent degree in Mathematics, Economics, Statistics, or a related field, and five (5) years of related work experience in the position offered or a related position. Must have five (5) years of experience with/in each of the following: - Use programming languages C , C , R, VBA, and SQL; - Experience working in risk for either OTC or exchange traded asset classes; - Pricing complex derivatives and performing advanced statistical analysis on underlying risk factors; - Understanding of probability theory, stochastic processes, and explaining theoretical justifications of developing risk models; and - Leading projects related to risk management. Up to 5% domestic or international travel required. To apply, please email resume to: and reference: IL0178.