Senior Associate, Market Risk & Default Management

** Duties:
** Analyze market risk exposures for all products and accounts cleared by the OCC including equities, futures, index and equity options, options on futures and government securities. Monitor clearing members’ trading positions and collateral for sensitivities to various risk factors using the OCC’s market risk methodologies including Monte Carlo and Stress Testing. Assist the Market Risk Team with proposing, developing and specifying requirements for a best-in-class intraday market risk system along with a suite of proprietary technological tools.

Monitor current financial market conditions including corporate earnings and key economic announcements to assess the potential impact on the OCC’s Clearing Member portfolios. Work collaboratively with other functions at the OCC including the Quantitative Risk Management team and various IT teams. Develop tools and reports using large data sets to assist in the preparation of position and financial risk analysis and reporting.

Analyze complex market risk exposures across multiple asset classes using quantitative methodologies such as Monte Carlo simulations and stress testing scenarios to identify financial risks and to ensure adequate risk coverage during market volatility. Evaluate and assess advanced market risk monitoring systems and specialized risk reporting tools using Python, SQL, R, database technologies, and large financial datasets to assess clearing member positions and portfolio sensitivities.

Analyze clearing member positions, macro/microeconomic developments, and market volatility using options pricing theory (Black-Scholes options pricing model, “the Greeks” risk measures, option contract components such as underlying asset price, strike price, volatility, interest rate, and time to expiration), Value at Risk (VaR), and Expected Shortfall (ES) risk measures to appropriately manage financial risk and obtain sufficient margin that is commensurate of the risk posed.

Evaluate market risk methodologies, policies, procedures, and controls to align with covered clearing agency regulatory requirements (i.e. SEC, CFTC, Federal Reserve Board of Governors); engage in cross-functional initiatives with teams from three lines of defense to incorporate industry best practices for central counter party risk management. Support responses to clearing member’s inquiries regarding the OCC’s various market risk methodologies and the related policies and procedures.

Assist in the creation of new or enhancing existing policies and procedures as needed for regulatory inquiries, audits and examinations. Conduct miscellaneous studies and analysis for senior management. Up to 40% telecommuting permitted. OCC offers a standard benefits package.
** Education & Experience

Required:

** Master’s degree in finance, economics, business administration, or related and two (2) years of experience as an Associate (Internal Audit, Financial Risk & Modeling), financial risk management analyst, or related
** Special

Skills Required:

** Must have work experience with each of the following:
1) Analyze complex market risk exposures across multiple asset classes using quantitative methodologies such as Monte Carlo simulations and stress testing scenarios to identify financial risks and to ensure adequate risk coverage during market volatility;
2) Evaluate and assess advanced market risk monitoring systems and specialized risk reporting tools using Python, SQL, R, database technologies, and large financial datasets to assess clearing member positions and portfolio sensitivities;
3) Analyze clearing member positions, macro/microeconomic developments, and market volatility using options pricing theory (Black-Scholes options pricing model, “the Greeks” risk measures, option contract components such as underlying asset price, strike price, volatility, interest rate, and time to expiration), Value at Risk (VaR), and Expected Shortfall (ES) risk measures to appropriately manage financial risk and obtain sufficient margin that is commensurate of the risk posed;

and
4)  Evaluate market risk methodologies, policies, procedures, and controls to align with covered clearing agency…