Associate Principal, Quantitative Risk Management - Model Analytics
The Options Clearing Corporation | |
parental leave, tuition reimbursement, remote work | |
United States, Illinois, Chicago | |
125 South Franklin Street (Show on map) | |
Dec 19, 2024 | |
What You'll Do: The Associate Principal is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. The Associate Principal will collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models. Primary Duties and Responsibilities: To perform this job successfully, an individual must be able to perform each primary duty satisfactorily. To perform this job successfully, an individual must be able to perform each assigned essential duty satisfactorily: * Develop models for pricing, margin risking and stress testing of financial products and derivatives. * Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations. * Implement new models into model library and enhance existing models. * Write and review documentations (whitepapers) for the models, model prototypes and model implementation. * Perform model performance testing, including portfolio back-testing using historical data. * Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality. * Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed. * Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support. * Support the launch of new products. * Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. * Communicate model analysis to professionals across OCC and collaborate with cross-functional departments. Supervisory Responsibilities: N/A Qualifications: The requirements listed are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions. The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions: * Strong quantitative skills, ability to demonstrate deep understanding in the following technical areas: *Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
* Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis) * Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products. * Strong programing skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting:
* Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources. * Ability to challenge model methodologies, model assumptions, and validation approach. * Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.). * Experience in Agile/SCRUM framework is highly desirable. Technical Skills:
Education and/or Experience:
Certificates or Licenses: FRM, CFA, etc are desireable, but not required Who We Are The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. Founded in 1973, OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. As a Systemically Important Financial Market Utility (SIFMU), OCC operates under the jurisdiction of the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity Futures Trading Commission (CFTC), and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty (CCP) clearing and settlement services to 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com. What We Offer A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include: A hybrid work environment, up to 2 days per week of remote work Tuition Reimbursement to support your continued education Student Loan Repayment Assistance Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely Generous PTO and Parental leave Competitive health benefits including medical, dental and vision Salary Range 110,500.00 - 153,200.00 - 195,900.00 USD AnnualIncentive Range 8% to 15%Step 1 Step 2 Step 3 For more information about OCC, please click here. OCC is an Equal Opportunity Employer |