Associate Principal, Quantitative Risk Management

Duties :

Responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk model monitoring metrics : model analytics and performance monitoring; model monitoring metrics prototyping and testing. Collaborate with other quantitative analysts, business users, data and technology staff, and model risk management colleagues to implement new model monitoring metrics and enhance existing model monitoring metrics. Perform model performance testing, including portfolio back-testing using historical data. Write and review documentations for the model monitoring metrics, model monitoring metrics prototypes and model monitoring metrics implementation. Review implementation of model monitoring metrics and algorithms focusing on requirement verification, coding, and testing quality. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Support the launch of new products' monitoring metrics. Develop Python scripts with Pandas and object-oriented programming to automate data cleaning, benchmarking or missing value checks of financial data, including interest rates, volatilities or equity historical prices. Conduct visualization and exploratory analysis, using Matplotlib, Numpy, Ito's Lemma, and Monte Carlo simulation to perform model research and validation as well as methodology review, model assumption tests, and model performance tests. Apply advanced econometric and stochastic models, such as Yield Curve Modeling, non-arbitrage theory, or Black-Scholes, to develop pricing models including forward rate agreements, swaps, or options. Implement Python to utilize scikit-learn or Arch for machine learning or time series analysis, such as EWMA, GARCH, or Decision Tree and XGboost. Perform model stress testing and backtesting for CCAR. Participate in model performance monitoring code reviews, support and troubleshoot during the automation and integration of model monitoring metrics. 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 or related and four (4) years of experience as a financial specialist, model risk specialist or related

Special Skills Required :

Must have work experience with each of the following : 1) Develop Python scripts with Pandas and object-oriented programming to automate data cleaning, benchmarking or missing value checks of financial data, including interest rates, volatilities or equity historical prices; 2) Conduct visualization and exploratory analysis, using Matplotlib, Numpy, Ito's Lemma, and Monte Carlo simulation to perform model research and validation as well as methodology review, model assumption tests, and model performance tests; 3) Implement Python to utilize scikitlearn or Arch for machine learning or time series analysis, such as EWMA, GARCH, or Decision Tree and XGboost; and 4) Apply advanced econometric and stochastic models, such as Yield Curve Modeling, non-arbitrage theory, or Black-Scholes, to develop pricing models including forward rate agreements, swaps, or options. Up to 40% telecommuting permitted.

Salary

$110,500-$153,200

Apply :

OCC offers a standard benefits package. See a full list of benefits here : https : / / www.theocc.com / careers / thriving-together . Apply online at www.theocc.com . No calls. EOE.

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 :

Visit https : / / www.theocc.com / careers / thriving-together for more information.

Compensation

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Step 3

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OCC is an Equal Opportunity Employer