Associate Principal, Quantitative Risk Management

Name of Employer:
The Options Clearing Corporation
Job Title:
Associate Principal, Quantitative Risk Management
Location:
125 S. Franklin Street, Suite 1200, Chicago, IL 60606
Duties:
Responsible for developing and maintaining risk models: model analytics and performance monitoring; model prototyping and testing; and model implementation. Collaborate with other quantitative analysts, business users, data and technology staff, and model validation colleagues to implement new models and enhance existing models. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Develop and implement options pricing model to build implied volatility surface on daily basis, and monitor the market volatility fluctuation using stochastic calculus, derivatives pricing models and probability theory. Use time-series method, GARCH model, and EWMA model to capture historical volatility and apply on current market to assess risk. Use Monte Carlo simulation to build historical market move scenarios to calculate the risk charges for client portfolios and trading strategies. Perform model performance testing, including portfolio back-testing using historical data. Write and review documentations for models, model prototypes and model implementation. Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality. 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. Writes code using Object Oriented Programming languages such as Python, R, and MATLAB to perform calculation, analysis, and reporting. Up to 40% telecommuting permitted. *This position qualifies for The Options Clearing Corporation's Employee Referral Program.*
Education & Experience Required:
Master's degree in CS, mathematics, engineering, finance or related and three (3) years of experience as a quantitative analyst, quantitative risk management consultant/associate or related.
Special Skills Required:
Must have work experience with each of the following: 1) Develop and implement options pricing model to build implied volatility surface on daily basis, and monitor the market volatility fluctuation using stochastic calculus, derivatives pricing models and probability theory; 2) Use time-series method, GARCH model, and EWMA model to capture historical volatility and apply on current market to assess risk; 3) Use Monte Carlo simulation to build historical market move scenarios to calculate the risk charges for client portfolios and trading strategies; and 4) Write code using Object Oriented Programming languages such as Python, R, and MATLAB to perform calculation, analysis and reporting.
Salary
$136,200 - $193,300
Apply:
Apply online at www.theocc.com. No calls. EOE.
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OCC is an Equal Opportunity Employer