Quantitative Risk Management Director

About This Role

This Director-level role involves leading and expanding the Quantitative Risk Management group for a leading Clearing Corporation in Chicago. The position focuses on developing and enhancing advanced models for margin, clearing fund, pricing, and stress-testing derivatives and financial products, while leading a team and engaging with regulators.

Responsibilities

• Direct and oversee development of pricing, margin, and stress-testing models for derivatives and financial products
• Lead research on model methodologies, assess industry best practices, and drive prototype development for new model features
• Design tools, procedures, and performance-monitoring frameworks to evaluate model effectiveness
• Lead implementation of model analytics within the QRM Library and support integration into firmwide risk systems
• Lead remediation of model validation or regulatory findings and prepare materials for regulatory inquiries

Requirements

• Master's degree in a quantitative field (Math, Financial Engineering, Computer Science, Physics, etc.)
• 10+ years of quantitative model development/research experience in financial markets
• Deep expertise in derivatives pricing, stochastic calculus, probability, statistics, and advanced linear algebra
• Strong background in econometrics, time-series analysis, GARCH, copulas, and machine learning techniques
• Proficiency with risk management methods: VaR, Expected Shortfall, stress testing, and backtesting
• Ability to challenge modeling assumptions, identify limitations, and articulate complex concepts clearly
• Strong documentation skills, including technical papers, methodology documents, and user guides

Qualifications

• Master's degree in a quantitative field (Math, Financial Engineering, Computer Science, Physics, etc.); PhD preferred.
• 10+ years of quantitative model development/research experience in financial markets