Director, Quantitative Risk Management

About the role

The Options Clearing C

Responsibilities

• Primary Duties and Responsibilities:
• To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.
• Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives |Oversee analysis of new products and drive their implementation at OCC
• Research and present model alternatives based on the academic literature, industry best practices, data analysis and model prototyping
• Produce high quality whitepapers and technical documentation following QRM's procedures and templates
• Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership
• Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting
• Lead and direct implementation of the model analytics in the QRM Library
• Partner with IT and other departments delivering QRM analytics to production
• Provide production support, participate in troubleshooting and analysis of model, system and data issues
• Lead remediation of Model Validation or regulatory findings
• Prepare and present materials supporting management and regulatory inquiries
• Provide intellectual leadership promoting innovation and learning
• Supervisory Responsibilities:
• Manage a team of finacial engineers/model developers

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: seasoned level in understanding of markets and financial derivatives in equities, interest rate, and commodity products
• [Required] Seasoned level in programing skills. Advanced proficiency in using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting. Model development and prototyping requires advanced development skills in Python and data mining
• [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] Ability to challenge model methodologies, model assumptions, and validation approach
• [Required] Seasoned level in technical and scientific documentation (e.g., whitepapers, user guides, etc.)
• Technical Skills:
• [Required] Expert in database technology, query languages (such as SQL), and efficient storage and serialization protocols
• [Required] For model development and prototyping role: expert in a scripting language such as Python, R or MATLAB
• [Required] Experience with numerical libraries and/or scientific computing including numerical optimizers (e.g. NAG, MATLAB)
• [Required] Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.)
• [Required] Experience with CI/CD and DevOps tools (e.g., Git, GitHub and various profiling and telemetry tools) is required for model implementation and application development.
• [Required] Experience with high performance computing, distributed computation engines and cloud computing
• [Required] Advanced proficiency in office technology such as PowerPoint, Confluence, Latex, Word, and Excel
• Education and/or Experience:
• [Required] Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
• [Preferred] PhD degree in one of the above fields
• [Required] 10+ years of experience of quantitative research and/or model implementation in finance
• [Required] 5+ years of experience in people management
• Certificates or Licenses:
• [Preferred] FRM, CFA, etc.

Your Match

How well this role fits your profile.

Company Intel

What employees say

Worked at theocc? Share your experience