Associate Principal, Quantitative Risk Management

What You'll Do:

The Associate Principal 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. The Associate Principal 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 assigned essential 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 (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:

The requirements listed are representative of the knowledge, skill, and/or ability required.  A candidate need not have proficiency in all areas.  Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.

The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions:

• Strong quantitative skills, ability to demonstrate deep understanding in the following technical areas:

  • Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)

  • Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques

  • Numerical methods and optimization: e.g. Monte Carlo simulation and finite difference techniques

• Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)

• Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products.

• Model development and prototyping requires development skills

• Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources.

• Ability to challenge model methodologies, model assumptions, and validation approach.

• Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.).

Technical Skills:

• Proficiency in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience is a plus.

• Experience in a scripting language such as Python, R or MATLAB.

• Experience in office technology such as PowerPoint, Confluence, Word, and Excel.

Education and/or Experience:

• Master’s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering.

• 4+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing.  Experience in risk management and trading preferred.

Certificates or Licenses:

• FRM, CFA, etc are desirable, but not required

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 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.

Salary Range

Incentive Range

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