The Options Clearing Corporation
Associate Principal, Quantitative Risk Management - Model Analytics
The Options Clearing Corporation, Chicago, Illinois, United States, 60290
Associate Principal, Quantitative Risk Management - Model Analytics
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: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.Qualifications: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 techniquesNumerical methods and optimization; Monte Carlo simulation and finite difference techniquesRisk 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 programming 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 designExperience 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 desirable, 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 workTuition Reimbursement to support your continued educationStudent Loan Repayment AssistanceTechnology Stipend allowing you to use the device of your choice to connect to our network while working remotelyGenerous PTO and Parental leaveCompetitive health benefits including medical, dental and visionStep 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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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: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.Qualifications: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 techniquesNumerical methods and optimization; Monte Carlo simulation and finite difference techniquesRisk 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 programming 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 designExperience 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 desirable, 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 workTuition Reimbursement to support your continued educationStudent Loan Repayment AssistanceTechnology Stipend allowing you to use the device of your choice to connect to our network while working remotelyGenerous PTO and Parental leaveCompetitive health benefits including medical, dental and visionStep 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
#J-18808-Ljbffr