Lead Assoc Principal, Quantitative Risk Management

The Options Clearing Corporation

Chicago, IL

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JOB DETAILS

SALARY

$128,800–$230,200 Per Year

SKILLS

Algorithms, Analysis Skills, Application Integration, Bank Stress Testing, Best Practices, C++ Programming Language, Calculus, Code Reviews, Collaboration Software, Compensation Management, Computer Programming, Computer Science, Computer Skills, Cross-Functional, Data Analysis, Database Programming Languages, Database Technology, Derivatives, Design Patterns Programming Methodologies, Documentation Review, Econometrics, Enterprise Applications, Finance, Financial Mathematics, Git, GitHub, Health Plan, Identify Issues, Interest Rates, Java, Jenkins, LaTeX Typesetting, Linear Algebra, Machine Learning, Mathematics, Microsoft Excel, Microsoft PowerPoint, Microsoft Word, Model Review, Model Validation, Monte Carlo Method, Network Connectivity, Object Oriented Design (OOD), Performance Analysis, Performance Modeling, Performance Testing, Physics, Pricing, Probability Theory, Problem Solving Skills, Product Pricing, Product Testing, Product/Service Launch, Production Support, Programming Languages, Prototyping, Python Programming/Scripting Language, Quality Assurance, Quantitative Analysis, R Programming Language, Requirements Validation/Verification, Risk, Risk Management, Risk Modeling, SQL (Structured Query Language), Scala Programming Language, Securities and Exchange Commission (SEC), Software Administration, Software Design, Software Development, Statistics, Stochastic Analysis, Stock Market, Stress Modeling, Stress Testing, Student Loans, Team Player, Test Automation, Test Case, Test Tools, Testing, Time Series Analysis, Trading/Stockbroking, Tuition Reimbursement, Unit Test, Value At Risk (VaR), White Papers, Work From Home

LOCATION

Chicago, IL

POSTED

1 day ago

To be considered for this position, applications and resumes are accepted only through our careers site by directly applying to the posted job. We do not accept unsolicited resumes or sales solicitations from staffing agencies. Any OCC employee wishing to submit a referral must do so through their Workday account. Any resume submitted outside of an active job posting will not be considered for employment.

Who We Are

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.

What We Offer

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

Competitive health benefits including medical, dental and vision

Summary

This role is 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. This role will collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models.

Responsibilities

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
Implement new models into model library and enhance existing models
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
Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed
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
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

Supervisory Responsibilities

None

Qualifications & Experience

[Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
[Required] Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
[Required] Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
[Required] Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
[Required] Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
[Required] Strong programing skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
[Required] Model implementation requires advanced Java programming ability and a demonstrated ability in developing and maintaining enterprise level software
[Required] Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources
[Required] Ability to challenge model methodologies, model assumptions, and validation approach
[Required] Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)
[Preferred] Experience in Agile/SCRUM framework

Technical Skills & Background

[Required] Proficiency in database technology and query languages (such as SQL)
[Preferred] Non-relational DB and other Big Data, cloud-based computing experience
[Required] Proficiency in Java is required for model implementation (Java 8 or later)
[Required] Experience in a scripting language such as Python, R or MATLAB
[Required] Experience with numerical libraries and/or scientific computing |[Preferred] Experience with numerical optimizers using NAG, Matlab or similar| [Required] Experience with automated quality assurance frameworks is required (e.g., Junit, TestNG, Selenium, etc.) for model testing
[Required] Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins)
[Required] Software design: effective application of design patterns, expertise in object-oriented design
[Preferred] Experience with high performance computing
[Required] Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel

Certifications

[Preferred] FRM, CFA, etc.

Education & Training

[Required] Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
[Preferred] PhD
5-7 years of experience in quantitative areas in finance and/or development experience in model implementation and testing

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 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.

Salary Range
$128,800.00 - $230,200.00

Incentive Range
8% to 15%

This position is eligible for an annual discretionary incentive compensation award, for which the target range is listed above (see Incentive Range). The amount of such award, if any, will be based on various factors, including without limitation, both individual and company performance.

Step 1
When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.

Step 2
You will receive an email notification to confirm that we've received your application.

Step 3
If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.

For more information about OCC, please click here.

OCC is an Equal Opportunity Employer

About the Company

The Options Clearing Corporation

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