Associate Principal, Quantitative Risk Management

1 month ago

Chicago, Illinois, United States OCC Full time

Summary
The Associate Principal is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models: 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 risk management 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.

  • Perform model performance testing, including portfolio back-testing using historical data.
  • Develop models for pricing, margin risk and stress testing of financial products and derivatives.
  • Write and review documentations (whitepapers) for the models, model prototypes and model implementation.
  • Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality.
  • 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.
  • Support the launch of new products.
  • 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.
  • 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.

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.

  • [Required] Strong quantitative skills, ability to demonstrate understanding in the following technical areas:
    • Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
    • Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
    • Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
  • [Required] Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources.
  • [Required] Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis.
  • [Required] Strong programing skills. Able to read and write code using a programming language (e.g., Python, MATLAB, R, etc.) in a collaborative software development setting.
  • [Required] Experience with numerical libraries and/or scientific computing is required.
  • [Required] Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products.
  • [Required] Ability to challenge model methodologies, model assumptions, and validation approach.
  • [Required] Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.).
  • [Required] Experience in office technology such as PowerPoint, Confluence, Word, and Excel.
  • [Preferred] Experience in Agile/SCRUM framework is desirable.
  • [Preferred] Experience with Tableau and Alteryx highly desirable.

Technical Skills:

  • [Required] Experience in a scripting language such as Python is required.
  • [Required] Proficiency in database technology and query languages (such as SQL).
  • [Required] Experience with Github or other code management tools.
  • [Preferred] Experience with working in a Linux environment.

Education and/or Experience:

  • Master's degree or equivalent in a quantitative field such as data analytics, computer science, mathematics, physics, finance/financial engineering. PhD preferred.
  • Seven plus years of experience in quantitative areas in finance and/or development experience in model implementation and testing.

Certificates or Licenses:
FRM, CFA, etc., are desirable, but not required.
Who We Are
About Us
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
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
Step 1
When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.
Step 2
You will receive an email notification to confirm that we've received your application.
Step 3
If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.
For more information about OCC , please click here .
OCC is an Equal Opportunity Employer

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