Manager, Quantitative Risk Management

Name of Employer:

The Options Clearing Corporation

Job Title:

Manager, Quantitative Risk Management

Location:

9111 Cypress Waters Blvd, Suite 400, Dallas, Texas 75019

Duties:

Lead and support a team of quantitative analysts and developers in one or more functions within the group to develop, implement and maintain risk models for margin, clearing fund and stress testing. Lead, support and review development of models for pricing, margin risk and stress testing of financial products and derivatives. Provide training to team in conducting comprehensive quality assurance testing on model library and model. Participate in peer review of model documentation, model code, and model release testing. Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations. Implement standards and processes for model documentation, model prototype development, model library implementation, model testing and model performance monitoring. Design diagnostic, sensitivity and stress-testing of pricing and risk models. Perform model performance testing, including portfolio back-testing using historical data. Use Monte Carlo simulation and partial differential equations to devise and implement simulation models for option pricing and commodity futures. Refactor model prototypes into microservices using FastAPI and Protobuf and build Airflow pipelines. Perform data management using Hive, Pesto and Parquet leveraging ETL experience. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required:

Master’s degree in finance, economics or applied mathematics and five (5) years of financial quantitative modeling and analysis experience.

Special Skills Required:

Must have work experience with each of the following: 1) Use Monte Carlo simulation and partial differential equations to devise and implement simulation models for option pricing and commodity futures; 2) Refactor model prototypes into microservices using FastAPI and Protobuf and build Airflow pipelines; and 3) Perform data management using Hive, Pesto and Parquet leveraging ETL experience.

Salary

$174,400 - $243,100

Apply:

Apply online at www.theocc.com. No calls. EOE.