Lead Associate Principal, Quantitative Risk Management

The Options Clearing Corporation (OCC); Chicago (IL); Hybrid; USD 180,000 - 230,000; 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

Medical, dental and vision benefits

Job summary

The Options Clearing Corporation (OCC) is seeking a senior Quantitative Risk Analyst to develop and maintain risk models for margin, clearing fund and stress testing. You will prototype and test models, collaborate across quantitative teams, and implement pricing, margin and volatility models using Python, C++, and SQL.

This role includes model validation reporting, QA testing, and supporting new product launches.

Qualifications

• Master’s degree in finance, financial engineering, mathematical finance, or related field.
• Five or more years of experience as quantitative financial analyst or related role.

Responsibilities

• Develop and maintain risk models for margin, clearing fund, and stress testing.
• Collaborate with analysts, business users, data & technology staff, and model validation.
• Prototype and test models for pricing, margin risking, and stress testing.
• Design model library and testing tools using industry best practices.
• Develop model documentation and white papers; write technical reviews.
• Perform portfolio back-testing and model performance testing with historical data.

Skills

Quantitative analysis

Model risk management

Back-testing

Documentation

Education

Master’s degree in finance/financial engineering/min math finance

Tools

Python

C++

SQL

MATLAB

Scala

Job description

Duties

Responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. Collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models. Develop models for pricing, margin risking and stress testing of financial products and derivatives. Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations. Develop and maintain model documentation (white papers) and model prototype codes. Write and review documentations (whitepapers) for the models, model prototypes and model implementation. Perform model performance testing, including portfolio back-testing using historical data. Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality. Collaborate with developers to conduct comprehensive quality assurance testing on model library including reviewing the production code and test cases, automation of model unit testing and creations of reference models if needed. Develop and validate equity derivatives pricing and volatility models for exotic products and index strategies using Python, C++ and SQL. Implement benchmarking and model testing frameworks for CVA/CCR and volatility models leveraging Python and SQL within Basel III and SR 11-7 governance environments. Develop model validation reports for equity-linked derivatives supporting regulatory capital frameworks such as Vanilla/Exotic options, equity futures. Develop quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models, using Scala, MATLAB and Python. Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support. Support the launch of new products, and develop new models or enhance existing models if necessary. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Communicate model analysis to professionals across OCC and collaborate with cross-functional departments. Up to 40% telecommuting permitted. OCC offers a standard benefits package. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Duties

Responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. Collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models. Develop models for pricing, margin risking and stress testing of financial products and derivatives. Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations. Develop and maintain model documentation (white papers) and model prototype codes. Write and review documentations (whitepapers) for the models, model prototypes and model implementation. Perform model performance testing, including portfolio back-testing using historical data. Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality. Collaborate with developers to conduct comprehensive quality assurance testing on model library including reviewing the production code and test cases, automation of model unit testing and creations of reference models if needed. Develop and validate equity derivatives pricing and volatility models for exotic products and index strategies using Python, C++ and SQL. Implement benchmarking and model testing frameworks for CVA/CCR and volatility models leveraging Python and SQL within Basel III and SR 11-7 governance environments. Develop model validation reports for equity-linked derivatives supporting regulatory capital frameworks such as Vanilla/Exotic options, equity futures. Develop quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models, using Scala, MATLAB and Python. Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support. Support the launch of new products, and develop new models or enhance existing models if necessary. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Communicate model analysis to professionals across OCC and collaborate with cross-functional departments. 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, mathematical finance, or related and five (5) years of experience as a quantitative financial analyst, model risk management VP/associate, or related

Special Skills Required

Must have work experience with each of the following: 1) develop and validate equity derivatives pricing and volatility models for exotic products and index strategies using Python, C++ and SQL; 2) implement benchmarking and model testing frameworks for CVA/CCR and volatility models leveraging Python and SQL within Basel III and SR 11-7 governance environments; 3) develop model validation reports for equity-linked derivatives supporting regulatory capital frameworks such as Vanilla/Exotic options, equity futures; and 4) develop quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models, using Scala, MATLAB and Python. Up to 40% telecommuting permitted.

Salary

$179,500-$230,200

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 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.