Associate Principal, Model Risk Management, Validation

OCC; Chicago (IL); Ibrido; USD 111.000 - 156.000; Tempo pieno

Vantaggi offerti da questo lavoro

Hybrid work environment

Up to 2 days remote per week

Tuition Reimbursement

Student Loan Repayment Assistance

Technology Stipend

Generous PTO and Parental leave

401k Employer Match

Health benefits (medical, dental, and視

Descrizione del lavoro

The Options Clearing Corporation (OCC) is seeking a skilled Model Risk Management professional to analyze model risk spanning pricing, margin, liquidy, and stress testing. You will conduct independent reviews, design benchmark models, and develop model-testing tools using RStudio and SQuirrel SQL Client, ensuring robust validation and governance across risk teams.

Collaborating with CRO teams and data/technology staff, you will validate model performance, backtest portfolios, and assess

Competenze

• Master’s degree in finance, financial engineering, financial mathematics, or related field.
• Two years of experience as a model risk management associate, quantitative risk management analyst, or related role.

Mansioni

• Analyze model risk across pricing, margin, clearing fund, stress testing and liquidity models.
• Design and implement benchmark models and model-testing tools, including backtesting.
• Write and review validation documentation.
• Perform model performance testing, including portfolio back-testing using historical data.
• Communicate model risk analysis to CRO teams and collaborate with cross-functional departments.

Conoscenze

Model risk analysis

Backtesting

RStudio

SQuirrel SQL

Monte Carlo

Formazione

Master’s degree in finance

Strumenti

RStudio

SQuirrel SQL

Descrizione del lavoro

Duties

Responsible for one or more functions within Model Risk Management (MRM) to analyze model risk across pricing, margin, clearing fund, stress testing and liquidity models. Collaborate with MRM staff and other teams reporting to the Chief Risk Officer, including, data & technology staff. Conduct independent reviews to assess model risk and associated remediations. Design and implement benchmark models and model-testing tools, including backtesting, using best industry practices and innovations. Write and review validation documentation. Perform model performance testing, including portfolio back-testing using historical data. Review implementation of models and systems focusing on requirement verification. Collaborate with other team members in Model Risk Management and Financial Risk Oversight. Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC. Analyze risk of new products. Quantify the impact of withdrawing excess collateral on Expected Shortfall values and the collateral haircut approximation error in the validation of the collateral haircut model using RStudio and SQuirrel SQL Client. Evaluate the return distributions and simulated Monte Carlo scenarios of option-based ETFs in the validation of the option pricing model and NBBO outliers of intraday prices for 0DTE options using RStudio and SQuirrel SQL Client. Use RStudio and SQuirrel SQL Client to examine calculations that underpin the methodologies for margin, stress testing, and liquidity risk management. Review Vega liquidation charge calibration changes for cryptocurrency and construct analyses on topics related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate the performance of Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts. Perform model performance testing, including portfolio back-testing using historical data, and review model and algorithm implementations with a focus on requirement verification, coding, and testing quality. Conduct quality assurance testing on the model library, including constructing test cases, automating unit testing, and creating reference models as needed. Participate in model code reviews, model release testing, and production support, including margin impact analysis, baseline support, troubleshooting, and integration with production applications. Support the launch of new products, provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations, and communicate model analysis while collaborating with cross-functional departments.

Up to 40% telecommuting permitted.

Education & Experience Required

Master’s degree in finance, financial engineering, financial mathematics, or related and two (2) years of experience as a model risk management associate, quantitative risk management analyst, or related.

Special Skills Required

• Must have work experience with each of the following: 1) quantify the impact of withdrawing excess collateral on Expected Shortfall values and the collateral haircut approximation error in the validation of the collateral haircut model using RStudio and SQuirrel SQL Client;
• 2) evaluate the return distributions and simulated Monte Carlo scenarios of option-based ETFs in the validation of the option pricing model and NBBO outliers of intraday prices for 0DTE options using RStudio and SQuirrel SQL Client;
• 3) use RStudio and SQuirrel SQL Client to examine calculations that underpin the methodologies for margin, stress testing, and liquidity risk management;
• 4) review Vega liquidation charge calibration changes for cryptocurrency and construct analyses on topics related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate the performance of Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts.

Benefits

• 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
• 401k Employer Match
• Competitive health benefits including medical, dental and vision

Compensation

Salary $111,100-$155,500

The salary range listed for any given position is exclusive of fringe benefits and potential bonuses.

All employees may be eligible for a discretionary bonus. Discretionary bonuses are based on various factors, including, but not limited to, company and individual performance and are not guaranteed.

Equal Opportunity Employer

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.

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 23 exchanges and trading platforms.