Lead Associate Principal, Quantitative Risk Management
National Black MBA Association, Chicago, IL, United States
What You’ll Do
The Lead Associate Principal 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.
Primary Duties and Responsibilities To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.
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 (such as whitepapers and technical documentations) 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
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 (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] Basic programming skills: able to read and/or write code using a programming language (e.g., 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 (e.g., white papers, user guides, etc.)
[Required] Business‑oriented and responsible
[Required] Good team player
Technical Skills
[Required] Experience in database technology and query languages (such as 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 (e.g., Junit, TestNG, PyTest, etc.)
[Preferred] Experience with code repository, build and deployment tools (e.g., 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.
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
401(k) Employer Match
Competitive health benefits including medical, dental and vision
Salary Range $128,800.00 - $230,200.00
Incentive Range 8% to 15%
Additional information on compensation is available internally.
OCC is an Equal Opportunity Employer
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Primary Duties and Responsibilities To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.
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 (such as whitepapers and technical documentations) 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
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 (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] Basic programming skills: able to read and/or write code using a programming language (e.g., 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 (e.g., white papers, user guides, etc.)
[Required] Business‑oriented and responsible
[Required] Good team player
Technical Skills
[Required] Experience in database technology and query languages (such as 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 (e.g., Junit, TestNG, PyTest, etc.)
[Preferred] Experience with code repository, build and deployment tools (e.g., 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.
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
401(k) Employer Match
Competitive health benefits including medical, dental and vision
Salary Range $128,800.00 - $230,200.00
Incentive Range 8% to 15%
Additional information on compensation is available internally.
OCC is an Equal Opportunity Employer
#J-18808-Ljbffr