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Associate Principal, Quantitative Risk Management

1 month ago

Chicago, United States The Options Clearing Corporation Full time

Associate Principal, Quantitative Risk Management - Model Analytics page is loaded Associate Principal, Quantitative Risk Management - Model Analytics Apply locations Chicago - 125 S Franklin time type Full time posted on Posted 5 Days Ago job requisition id REQ-3643

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)

  • 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

• 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:

  • Model development and prototyping requires advanced development skills in Python and database manipulation.

  • Model implementation requires advanced Java programming ability and a demonstrated ability in developing and maintaining enterprise level software.

• 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:

  • Proficiency in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience is a plus.

  • Proficiency in Java is required for model implementation (Java 8 or later).

  • Experience in a scripting language such as Python, R or MATLAB is required.

  • Experience with numerical libraries and/or scientific computing is required.

  • Experience with automated quality assurance frameworks is required (e.g., Junit, TestNG, Selenium, etc.) for model testing.

  • Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins).

  • Software design: effective application of design patterns, expertise in object-oriented design

  • Experience with high performance computing is a plus.

  • Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel.

Education and/or Experience:

  • Master’s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. PhD preferred.

  • Five or more years of experience in quantitative areas in finance and/or development experience in model implementation and testing.

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

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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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

About Us

OCC is an Equal Opportunity Employer

OCC is an equal opportunity employer that is committed to diversity, equity, and inclusion. OCC provides equal employment opportunities to all employees and applicants for employment without regard to race, color, national origin, citizenship status, sex, sexual orientation, gender identity or expression, disability, age, marital status, religion, veteran status, or any other characteristics protected by applicable federal, state, or local laws.

Numerous studies have shown that people from groups that are traditionally under-represented in financial services apply to jobs only if they believe they meet 100% of the requirements. We want to break down this mindset to further diversify our workforce.

We encourage you to review our open positions and apply if you think your experience may be a match, even if you do not meet all of the qualifications. Your perspective may be an element we need to continue building innovative solutions to support the markets and market participants we serve.

OCC is a globally recognized entity that clears a multitude of diverse and sophisticated products. We want to reflect this in the diversity of our workforce.

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.

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