Lead Associate Principal, Quantitative Risk Management
The Options Clearing Corporation (OCC), Chicago, IL, United States
The Lead Associate Principal role is responsible for one or more functions within Quantitative Risk Management to develop and maintain risk models for margin, clearing fund and stress testing. This includes model analytics and performance monitoring, model prototyping and testing, and model implementation. The role collaborates with other quantitative analysts, business users, technology staff, and model validation colleagues to implement new models and enhance existing models.
Primary Duties and 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 documentation (such as whitepapers and technical documentation) 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 construction of test cases, automation of unit testing and creation 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
Provide production support, participate in troubleshooting and analysis of model, system and data issues
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
[Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
[Required] Econometrics, data analysis (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] Basic programming skills: able to read and/or write code using a programming language (Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
[Required] Problem‑solving skills: identify a problem’s possible source, conduct study and provide reasoning in estimating severity and impact
[Required] Ability to challenge model methodologies, model assumptions, and validation approach
[Required] Experience in technical and scientific documentation (white papers, user guides, etc.)
[Required] Business‑oriented and responsible
[Required] Good team player
Technical Skills
[Required] Experience in database technology and query languages (SQL). Non‑relational DB and other Big Data, cloud‑based computing experience
[Preferred] Experience in Java is required for model implementation (Java 8 or later)
[Required] Experience in a scripting language such as Python, R or MATLAB
[Preferred] Experience with numerical libraries and/or scientific computing
[Preferred] Experience with automated testing frameworks (Junit, TestNG, PyTest, etc.)
[Preferred] Experience with code repository, build and deployment tools (Git, GitHub, Jenkins)
[Required] Experience with software design: effective application of design patterns, expertise in object‑oriented design is required for model implementation
[Preferred] Experience with high performance computing
[Required] Experience in office technology such as PowerPoint, Confluence, LaTeX, Word, and Excel
Education and/or Experience
[Required] Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
[Preferred] Advanced degree, e.g., PhD
[Preferred] 7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing
Certificates or Licenses
[Preferred] FRM, CFA, etc.
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, the U.S. Commodity Futures Trading Commission, and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty 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
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. The amount of such award, if any, will be based on various factors, including without limitation, both individual and company performance.
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.
Visit https://www.theocc.com/careers/thriving-together for more information.
Application Steps 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.
#J-18808-Ljbffr
Primary Duties and 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 documentation (such as whitepapers and technical documentation) 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 construction of test cases, automation of unit testing and creation 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
Provide production support, participate in troubleshooting and analysis of model, system and data issues
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
[Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
[Required] Econometrics, data analysis (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] Basic programming skills: able to read and/or write code using a programming language (Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
[Required] Problem‑solving skills: identify a problem’s possible source, conduct study and provide reasoning in estimating severity and impact
[Required] Ability to challenge model methodologies, model assumptions, and validation approach
[Required] Experience in technical and scientific documentation (white papers, user guides, etc.)
[Required] Business‑oriented and responsible
[Required] Good team player
Technical Skills
[Required] Experience in database technology and query languages (SQL). Non‑relational DB and other Big Data, cloud‑based computing experience
[Preferred] Experience in Java is required for model implementation (Java 8 or later)
[Required] Experience in a scripting language such as Python, R or MATLAB
[Preferred] Experience with numerical libraries and/or scientific computing
[Preferred] Experience with automated testing frameworks (Junit, TestNG, PyTest, etc.)
[Preferred] Experience with code repository, build and deployment tools (Git, GitHub, Jenkins)
[Required] Experience with software design: effective application of design patterns, expertise in object‑oriented design is required for model implementation
[Preferred] Experience with high performance computing
[Required] Experience in office technology such as PowerPoint, Confluence, LaTeX, Word, and Excel
Education and/or Experience
[Required] Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
[Preferred] Advanced degree, e.g., PhD
[Preferred] 7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing
Certificates or Licenses
[Preferred] FRM, CFA, etc.
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, the U.S. Commodity Futures Trading Commission, and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty 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
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. The amount of such award, if any, will be based on various factors, including without limitation, both individual and company performance.
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.
Visit https://www.theocc.com/careers/thriving-together for more information.
Application Steps 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.
#J-18808-Ljbffr