Director of Quantitative Risk Management: Lead Modeling

The Options Clearing Corporation (OCC); Illinois; Hybrid; USD 177,000 - 233,000; Full time

Benefits offered by this job

Hybrid work env (up to 2 days remote)

Tuition Reimbursement

Student Loan Repayment Assistance

Technology Stipend

Generous PTO & Parental leave

401k Employer Match

Health benefits

Job summary

The Options Clearing Corporation (OCC) is seeking a Director of Quantitative Risk Management in Chicago, IL to lead the development and oversight of models for margin, clearing fund and stress testing.

Responsibilities include directing methodology, implementing Python-based enhancements, validating results, and coordinating with IT, validation, and compliance teams. Up to 40% telecommuting is available.

Qualifications

• Master’s degree in finance, financial engineering, financial mathematics, or related field.
• Six years of experience as a quantitative risk management analyst/principal or related.
• Experience leading a team of financial engineers and model developers.

Responsibilities

• Direct development and maintenance of models for margin, clearing fund and stress testing.
• Develop Python prototypes for implied volatility simulation models to generate coherent surfaces across maturities and strikes.
• Lead model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling.
• Coordinate testing and implementation with IT and validation teams; communicate results to leadership.

Skills

Implied volatility modeling

Risk model enhancements

Python/SQL analytics

Education

Master's degree in finance/fin eng/fin math

Tools

Python

SQL

Job description

The Options Clearing Corporation (OCC) is seeking a Director of Quantitative Risk Management in Chicago, IL to lead the development and oversight of models for margin, clearing fund and stress testing.

Responsibilities include directing methodology, implementing Python-based enhancements, validating results, and coordinating with IT, validation, and compliance teams. Up to 40% telecommuting is available.