Lead Associate Principal, Quantitative Risk Management

The Lead Associate Principal role is responsible for one or more functions within Quantitative Risk Management to develop and maintain risk models for margin, clearing fund and stress testing. This includes model analytics and performance monitoring, model prototyping and testing, and model implementation. The role collaborates with other quantitative analysts, business users, 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
• Implement new models into model library and enhance existing models
• Write and review documentation (such as whitepapers and technical documentation) 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 construction of test cases, automation of unit testing and creation 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
• Provide production support, participate in troubleshooting and analysis of model, system and data issues
• 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

• None

• [Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• [Required] Econometrics, data analysis (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] Basic programming skills: able to read and/or write code using a programming language (Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
• [Required] Problem‑solving skills: identify a problem’s possible source, conduct study and provide reasoning in estimating severity and impact
• [Required] Ability to challenge model methodologies, model assumptions, and validation approach
• [Required] Experience in technical and scientific documentation (white papers, user guides, etc.)
• [Required] Business‑oriented and responsible
• [Required] Good team player

• [Required] Experience in database technology and query languages (SQL). Non‑relational DB and other Big Data, cloud‑based computing experience
• [Preferred] Experience in Java is required for model implementation (Java 8 or later)
• [Required] Experience in a scripting language such as Python, R or MATLAB
• [Preferred] Experience with numerical libraries and/or scientific computing
• [Preferred] Experience with automated testing frameworks (Junit, TestNG, PyTest, etc.)
• [Preferred] Experience with code repository, build and deployment tools (Git, Git Hub, Jenkins)
• [Required] Experience with software design: effective application of design patterns, expertise in object‑oriented design is required for model implementation
• [Preferred] Experience with high performance computing
• [Required] Experience in office technology such as PowerPoint, Confluence, LaTeX, Word, and Excel

• [Required] Master’s degree or equivalent in a quantitative field such as computer science,…