The Quantitative Risk Management intern will be responsible for analyzing and testing Risk/Pricing Models for the Clearing House. These include models related to Value-at-Risk, Stress VaR, and liquidity risk for futures products. The intern will work on very specific projects to develop back-testing strategies of the risk framework.This role requires a passion for problem solving, a deep understanding of financial mathematics with expertise in stochastic calculus, numerical methods, Volatility Forecasting techniques, and PDEs along with a flair for object oriented programming.
- Test and validate risk models for commodities.
- Develop software tools to efficiently implement risk methodologies.
- Present results to the risk team peers and management as needed.
- Pursuing a MS program in Math, Quant finance or any quantitative field.
- Possesses strong quantitative, analytical, and problem solving skills.
- Strong knowledge of statistics, probability theory, stochastic processes, and PDE’s.
- Strong academic experience on pricing options and volatility surface estimation.
- Strong working knowledge of Programming languages such as C#, Matlab, R. Intermediate level knowledge in SQL.
- Good communication skills and a team player.