Senior Associate Model Risk Management

What You'll Do:

The Senior Associate is responsible for one or more functions within Model Risk Management (MRM) to analyze model risk across pricing margin clearing fund stress testing and liquidity models: model performance monitoring; model benchmarking and testing; and model validation. The Senior Associate will collaborate with MRM staff and other teams reporting to the Chief Risk Officer including data & technology staff. The Senior Associate will conduct independent reviews to assess model risk and associated remediations.

OCC as the world's largest options clearing house uses complex mathematical models for margin stress testing and liquidity risk calculations requiring advanced knowledge of option risk and implied volatility models.

Primary Duties and Responsibilities:

To perform this job successfully an individual must be able to perform each primary duty satisfactorily.

• Review and assess model risk across pricing margin risk and stress testing of financial products and derivatives.

• Design and implement benchmark models and model-testing tools including backtesting using best industry practices and innovations.

• Write and review validation documentation.

• Perform model performance testing including portfolio back-testing using historical data.

• Review implementation of models and systems focusing on requirement verification.

• Collaborate with other team members in MRM and FRO.

• Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC.

• Analyse risk  of new products

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

• [Required] Econometrics data analysis (e.g. time series analysis GARCH fat-tailed distributions copula etc.)

• [Required] Numerical methods and optimization; Monte Carlo simulation and finite difference techniques

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

• [Required] Financial products knowledge: good understanding of markets and financial derivatives in equities interest rate and commodity products

• [Required] Basic programing skills. Able to read and write code using a programming language (e.g. Java C++ Python R Scala etc.):

• Model validation requires ability to write independent code for testing

• [Required]  Strong problem-solving skills: Be able to accurately identify a problem's source severity and impact to determine root cause and identify potential solutions

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

• [Required] Ability to work independently.

Technical Skills:

• [Preferred] Experience in database technology and query languages (such as SQL). Non-relational DB and other Big Data cloud-based computing experience

• [Required] Experience in a scripting language such as Python R or MATLAB

• [Required] Experience with numerical libraries and/or scientific computing

• [Required] Experience with automated testing frameworks is preferred (e.g. Junit TestNG PyTest etc.)

• [Required] Experience with code repository build and deployment tools (e.g. Git GitHub)

• [Required] Experience in office technology such as PowerPoint Confluence Latex Word and Excel

Education and/or Experience:

• [Required] Bachelor's degree or equivalent is required in a quantitative field such as computer science mathematics physics finance/financial engineering

• [Preferred] Master's degree

Certificates or Licenses:

• [Preferred] FRM CFA etc.

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

What We Do

As the foundation for secure markets OCC is a customer-driven organization that delivers world-class Risk Management Clearing and Settlement Services for a sophisticated mix of financial products that includes standard options stock loans and futures contracts.

Why Work With Us

We're bound together by values and behaviors that shape the way we work and live from team projects to after-hours events and to making a difference in our communities. OCC colleagues thrive in an atmosphere of intellectual curiosity creative problem-solving and effective interaction.

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