Lead Associate Principal, Quantitative Risk Management

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. Collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models. 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. Develop and maintain model documentation (white papers) and model prototype codes. 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.

Collaborate with developers to conduct comprehensive quality assurance testing on model library including reviewing the production code and test cases, automation of model unit testing and creations of reference models if needed. Develop and validate equity derivatives pricing and volatility models for exotic products and index strategies using Python, C++ and SQL. Implement benchmarking and model testing frameworks for CVA/CCR and volatility models leveraging Python and SQL within Basel III and SR 11-7 governance environments.

Develop model validation reports for equity-linked derivatives supporting regulatory capital frameworks such as Vanilla/Exotic options, equity futures. Develop quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models, using Scala, MATLAB and Python. 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, and develop new models or enhance existing models if necessary. 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. Up to 40% telecommuting permitted. OCC offers a standard benefits package.
* This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

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. Collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models. 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. Develop and maintain model documentation (white papers) and model prototype codes. 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.

Collaborate with developers to conduct comprehensive quality assurance testing on…