Hybrid Lead, Model Risk & Validation

NBMBAA; Chicago (IL); Hybrid; USD 111,000 - 156,000; Full time

Benefits offered by this job

Hybrid work

Tuition Reimbursement

Student Loan Repayment Assistance

Technology Stipend

PTO & Parental leave

401k match

Health benefits

Job summary

The Options Clearing Corporation (OCC) in the United States seeks a Model Risk Management Associate to analyze model risk across pricing, margin, stress testing and liquidity models. You will collaborate with CRO teams, data and technology staff, and other risk groups to conduct independent reviews and validate models.

Responsibilities include backtesting, developing benchmark models, writing validation documentation, performing performance testing with historical data, and supporting new

Qualifications

• 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
• Must have work experience with each of the following: quantify impact of collateral on ES values and collateral haircut in validation; evaluate Monte Carlo scenarios for option-based ETFs; use RStudio & SQuirreL SQL Client for margin, stress testing, liquidity risk calculations; review Vega calibration changes for crypto and related analyses.

Responsibilities

• 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 and perform model performance testing with historical data.
• Review model implementations focusing on requirement verification, coding and testing quality.
• Collaborate with CRO teams and other departments and support the launch of new products.

Skills

Collateral ES impact

Monte Carlo ETFs

RStudio & SQL

Vega calibration crypto

Education

Master's degree in finance or related

Tools

RStudio

SQuirreL SQL Client

Job description

The Options Clearing Corporation (OCC) in the United States seeks a Model Risk Management Associate to analyze model risk across pricing, margin, stress testing and liquidity models. You will collaborate with CRO teams, data and technology staff, and other risk groups to conduct independent reviews and validate models.

Responsibilities include backtesting, developing benchmark models, writing validation documentation, performing performance testing with historical data, and supporting new