Lead Associate Principal, Quantitative Risk Management

Summary

This role is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. 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.

Responsibilities

• Develop models for pricing, margin risking and stress testing of financial products and derivatives
• Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations
• Implement new models into model library and enhance existing models
• Write and review documentations (whitepapers) for the models, model prototypes and model implementation
• Perform model performance testing, including portfolio back-testing using historical data
• Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality
• Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed
• 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
• 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 & Experience

• [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.) and machine learning techniques
• [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] Strong programing skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
• [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] Ability to challenge model methodologies, model assumptions, and validation approach
• [Required] Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)

Technical Skills & Background

• [Required] Proficiency in database technology, query languages (such as SQL), and efficient storage and serialization protocols
• [Required] For model development and prototyping role: proficiency in a scripting language such as Python, R or MATLAB
• [Required] Experience with numerical libraries and/or scientific computing including numerical optimizers (e.g. NAG, MATLAB)
• [Required] Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.)
• [Preferred] Experience with CI/CD and DevOps tools (e.g., Git, GitHub and various profiling and telemetry tools) is required for model implementation and application development.
• [Preferred] Experience with high performance computing, distributed computation engines and cloud computing
• [Required] Proficiency in office technology such as PowerPoint, Confluence, Latex, Word, and Excel

Certifications

• [Preferred] FRM, CFA, etc.

Education & Training

• [Required] Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
• [Preferred] PhD degree in one of the above fields
• 7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing

About Us

The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization