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