Director, Quantitative Risk Management

Socket.dev; Chicago (IL); Hybrid; USD 177,000 - 233,000; Full time

Benefits offered by this job

Hybrid work environment

Tuition Reimbursement

Student Loan Repayment Assistance

Technology Stipend

Generous PTO and Parental leave

401k Employer Match

Health benefits

Job summary

The Options Clearing Corporation (OCC) is the world’s largest equity derivatives clearing organization. Located in Chicago, this Director-level role focuses on leading quantitative risk management modeling across margin, clearing fund and stress testing initiatives.

Candidates should hold a Master’s degree and possess six or more years of experience in quantitative risk management, with a strong emphasis on Python and SQL for model development and validation. Up to 40% telecommuting is permitted.

Qualifications

• Master’s degree in finance, financial engineering, financial mathematics, or related field.
• Six years of experience in quantitative risk management or related roles.
• Strong background in model development, validation, and backtesting.

Responsibilities

• Direct development and maintenance of margin, clearing fund and stress testing models.
• Develop Python prototypes for volatility surfaces across maturities and strikes.
• Lead model validation responses and regulatory findings remediation.

Skills

Volatility modeling

Python

SQL

Education

Master’s degree in finance/financial engineering

Tools

Python

SQL

Job description

Job Title

Director, Quantitative Risk Management

Location

125 S. Franklin Street, Suite 1200, Chicago, IL 60606

Duties

Direct the development, implementation, testing and maintenance of models used for margin, clearing fund and stress testing. Develop methodology and Python prototype implementation for implied volatility simulation model enhancements to generate coherent implied volatility surfaces across maturities and strikes. Execute quantitative risk model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling enhancements. Conduct quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL, including investigation of symbol- and strategy-level drivers, and identification of model limitations and potential enhancement opportunities. Support new product launching initiatives by participating in discussions with exchanges and internal stakeholders, assessing whether existing quantitative risk models can support new products, coordinating model enhancement discussions, and partnering with technology teams on testing and implementation activities. Work closely with risk managers in Financial Risk Management and partners in other areas, including Information Technology, Model Validation, and Compliance. Manage a team of financial engineers and model developers, and direct, lead, and review the development and implementation of models for pricing, margin risk, and stress testing of financial products and derivatives. Oversee the analysis of new products and drive their implementation, and research and present model alternatives based on academic literature, industry best practices, data analysis, and model prototyping. Produce whitepapers and technical documentation following QRM’s procedures and templates, and develop standards, procedures, and tools for model performance monitoring while communicating results to peers and leadership. Lead and direct the implementation of model development tools in QRM supporting model analysis and back testing, as well as the implementation of model analytics in the QRM Library. Partner with IT and other departments to deliver QRM analytics to production, provide production support, and 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, and provide intellectual leadership promoting innovation and learning. Up to 40% telecommuting permitted. OCC offers a standard benefits package. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required

Master’s degree in finance, financial engineering, financial mathematics, or related and six (6) years of experience as a quantitative risk management analyst, quantitative risk management principal, or related

Special Skills Required

Must have work experience with each of the following: 1) Developing methodology and Python prototype implementation for implied volatility simulation model enhancements to generate coherent implied volatility surfaces across maturities and strikes; 2) Executing quantitative risk model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling enhancements; and 3) Conducting quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL, including investigation of symbol- and strategy-level drivers, and identification of model limitations and potential enhancement opportunities. Up to 40% telecommuting permitted.

Salary

$177,300-$232,900

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 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com.

Benefits

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 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

Visit https://www.theocc.com/careers/thriving-together for more information.

Compensation

• The salary range listed for any given position is exclusive of fringe benefits and potential bonuses. If hired at OCC, your final base salary compensation will be determined by factors such as skills, experience and/or education.
• In addition, we believe in the importance of pay equity and consider internal equity of our current team members as part of any final offer.
• We typically do not hire at the maximum of the range in order to allow for future and continued salary growth. We also offer a substantial benefits package as noted on www.theocc.com/careers
• 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.

OCC is an Equal Opportunity Employer