Assoc Principal, Quantitative Risk Management

About the role

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. 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. 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: None

Requirements

• 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] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• [Required] Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
• [Required] Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
• [Required] Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
• [Required] Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
• [Required] Basic programing skills: able to read and/or write code using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
• [Required] Problem-solving skills: Be able to identify a problem's possible source, conduct study and provide reasoning in estimating severity and impact
• [Required] Ability to challenge model methodologies, model assumptions, and validation approach
• [Required] Experienc

Benefits

Additional Information

To be considered for this position, applications and resumes are accepted only through our careers site by directly applying to the posted job. We do not accept unsolicited resumes or sales solicitations from staffing agencies. Any OCC employee wishing to submit a referral must do so through their Workday account. Any resume submitted outside of an active job posting will not be considered for employment.

Your Match

How well this role fits your profile.

Company Intel

What employees say

Worked at theocc? Share your experience