Associate Principal, Quantitative Risk Management - Model Development

Who We Are
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.
What We Offer
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
Competitive health benefits including medical, dental and vision
Summary

• This role is responsible for one or more functions within Quantitative Risk Management (QRM) who develops and maintains risk models for margin, clearing fund and stress testing with the focus on developing and maintaining risk model software in production, and environments and infrastructure used in model implementation and testing.
• 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.

• Support the development of quantitative models for pricing, risk management, and stress testing of financial products and derivatives.
• Review model documentation including whitepapers and implementation notes.
• Design, implement, and maintain model prototypes and model testing tools using best industry practices and innovations.
• Support the creation of test plans.
• Present test plans and test results to, and obtain feedbacks from peers, model validators, and model developers.
• Review and conduct comprehensive quality assurance testing on the implementation of models and algorithms for both QRM Library and prototypes focusing on requirement verification, coding, and testing quality, which involves the constructions of test cases, automation of model unit testing and creations of reference models if needed.
• Participate in code reviews for QRM Library, model prototypes, and Model Development Tool.
• Contribute to the model release testing including margin impact analysis and baseline support and troubleshooting during model library integration with production applications.
• Contribute to the development and testing of Model Development Tool including databases, ETLs, services, orchestration, and CI/CD pipelines.
• Support model performance testing, including portfolio back-testing using historical data.
• Provide production support for numerical libraries and risk management systems.
• Provide integration support to the application consuming QRM libraries.
• 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. Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.

• [Required] 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; Monte Carlo simulation and finite difference techniques
  • Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
• [Required] Good understanding of markets and financial derivatives in equities, interest rates, and commodity products.
• [Required] Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources.
• [Required] Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.).
• [Required] Good interpersonal, verbal and written communication skills. Able to explain highly technical information to different audiences with varying levels of technical expertise.
• [Required] Business-oriented, responsible, and a good team player.
• [Desired] Ability to challenge model methodologies, model assumptions, and validation approach.
• [Desired] Experience in building distributed data systems.
• [Desired] Experience in Agile/SCRUM framework.

Technical Skills:

• [Required] Proficiency in Python for prototyping and test automation.
• [Required] Experience with numerical libraries and/or scientific computing.
• [Required] Experience with automated quality assurance frameworks (e.g., Junit, TestNG, Pytest, etc.) for model testing.
• [Required] Experience in relational database technology and query languages.
• [Required] Experience in office technology such as PowerPoint, Word, and Excel.
• [Desired] Experience with other programming and scripting languages like Java, C++, R, and shell.
• [Desired] Effective application of data structure, design patterns, expertise in object-oriented design.
• [Desired] Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins).
• [Desired] Experience with development and testing of web services and API.
• [Desired] Proficiency in non-relational DB and other Big Data, cloud-based experience.

Education and/or Experience:

• Master's degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering.
• Two to five years of experience in quantitative areas in finance and/or development experience in model implementation and testing.

Certificates or Licenses:
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