Director, Quantitative Risk Management

Overview

The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. OCC is a Systemically Important Financial Market Utility (SIFMU) and operates under the jurisdiction of the SEC, CFTC, and the Federal Reserve. For more information, visit

This role directs the development, implementation, testing and maintenance of models used for margin, clearing fund and stress testing. Responsibilities include research and development of significant model features, leading prototype development and testing, designing tools for model performance monitoring, providing technical leadership for model prototypes, and implementing and supporting integration of the model code library into OCC risk systems. The role collaborates with risk managers in Financial Risk Management and with partners in Information Technology, Model Validation, and Compliance.

• Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives; oversee analysis of new products and drive their implementation at OCC
• Research and present model alternatives based on academic literature, industry best practices, data analysis and model prototyping
• Produce high quality whitepapers and technical documentation following QRM procedures and templates
• Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership
• Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting
• Lead and direct implementation of the model analytics in the QRM Library
• Partner with IT and other departments delivering QRM analytics to production
• Provide production support, participate in troubleshooting and analysis of model, system and data issues
• Lead remediation of Model Validation or regulatory findings
• Prepare and present materials supporting management and regulatory inquiries
• Provide intellectual leadership promoting innovation and learning

• Manage a team of financial engineers/model developers

• [Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• [Required] Econometrics, data analysis (time series, GARCH, fat-tailed distributions, copulas) 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: seasoned understanding of markets and derivatives (equities, interest rate, commodities)
• [Required] Programming proficiency in a language (e.g., Java, C++, Python, R, MATLAB) with advanced skills in Python for model development and prototyping
• [Required] Strong problem-solving skills and ability to identify problem sources, severity and impact
• [Required] Ability to challenge model methodologies, assumptions and validation approach
• [Required] Technical and scientific documentation skills (whitepapers, user guides, etc.)

• [Required] Expert in database technology, SQL and efficient storage/serialization protocols
• [Required] For model development and prototyping: expert in Python, R or MATLAB
• [Required] Experience with numerical libraries and/or scientific computing including numerical optimizers
• [Required] Experience with automated testing frameworks
• [Required] Experience with CI/CD and Dev Ops tools (Git, Git Hub) for model implementation and development
• [Required] Experience with high performance computing and cloud computing
• [Required] Proficiency in office tools (PowerPoint, Confluence, LaTeX, Word, Excel)

• [Required] Master’s degree or equivalent in a quantitative field (computer science, mathematics, physics, finance/financial engineering)
• [Preferred] PhD in a…