Senior Associate, Pricing & Margins

What You'll Do:

This role supports the performance of a broad array of Risk Management functions.  Responsibilities include: all activities supporting performed to ensure the integrity of all Price Data (used for Risk Management and Core Clearing processes) and all activities performed to support SEC and CFTC regulated customer margin / haircut programs (including Risk Based Haircuts/Customer Portfolio Margin (“RBH/CPM”), and OFRA/SPAN).  This role will also support activities performed to establish and periodically review and evaluate the continued adequacy of OCC’s collateral and currency haircuts; and activities performed to establish, monitor, and evaluate certain parameters used is risk modeling and determination of Clearing Member margin requirements.

Primary Duties and Responsibilities:

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

Perform analysis of market and theoretical valuation of all products cleared by OCC, eligible to be deposited as collateral, or that are part of an OCC supported process.  Perform reconciliation of modeled output and update where appropriate: analysis is performed using proprietary OCC tools/applications which assist in identifying and correcting instances of price arbitrage and other pricing irregularities; products include equity, index, government security, and derivative prices (i.e., options, futures, and futures options) as well as all  derivative price inputs (e.g., dividend, interest rates, exchange rates); provide final approval and sign off for transmission to downstream processes (e.g., model calibration, theoretical computations, margin calculations).  Perform evaluation of market data vendors and manage market data entitlements.  Monitor intraday financial market performance and ensure that pricing and market data are accurately reflected.  Correct issues as discovered or escalate to management for direction, while observing standards for accuracy and timeliness.  Support and administer SEC and CFTC regulated programs related to customer margin / haircut calculations:  evaluate products to ensure eligibility standards for inclusion are met and determine appropriate treatment (e.g., stress levels, allowed offsets) consistent with Regulatory requirements; determine appropriate risk parameters, maintain, and develop parameter files for RBH/CPM and SPAN.  Perform daily evaluation of rate performance and periodic recalibration of related parameters.  Answer questions from and support Clearing Members, participating in OCC administered Regulatory programs and the investing public.  Provide detailed explanation of OCC’s risk management framework to external parties and provide guidance of supported regulatory programs and relevant SEC, FINRA, and CFTC Regulations.  Conduct miscellaneous studies and analysis for senior management, including trend analysis for derivative valuation and various risk analytics.  Support system development from a business user perspective by coordinating with multiple departments (e.g., application developers, quantitative risk analysts) to enhance system performance and functionality.  Recommend new and improved processes to enhance system performance and functionality.  Develop and maintain written procedures for Pricing and Margins departmental processes.  Assist in the training and onboarding of new Pricing & Margin team members.  Occasional travel required. 

Supervisory Responsibilities:

N/A

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.

• Strong understanding of securities and futures markets and derivative valuation, particularly option trading and pricing inputs.

• Understanding of statistical concepts (e.g., VaR, Expected Shortfall). 

• Ability to generate and evaluate descriptive and performance metrics from large data sets and synthesize results for Management.

• Comfortable performing data validation and reconciliation. 

• Strong verbal and written communication skills.

• Comfortable working in a customer service-oriented environment and addressing questions from both OCC colleagues and the investing public. 

• Good listening skills and ability to contribute to discussions with management from various departments.

• Self-directed and motivated to solve urgent problems by conducting ad hoc analysis and/or reaching out to other departments as necessary; ability to derive creative and adaptive solutions to problems. 

• Ability to work both independently with little direction or oversight and in a team-oriented collaborative environment. 

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