Associate Principal, Quantitative Risk Management - Model Analytics

The Options Clearing Corporation - Chicago, IL

Full-time - Mid Level

Hybrid - Chicago, IL

51-100 employees

Securities, Commodity Contracts, and Other Financial Investments and Related Activities

About the position

The Associate Principal in Quantitative Risk Management (QRM) is responsible for developing and maintaining risk models related to margin, clearing fund, and stress testing. This role involves collaboration with various teams to implement new models and enhance existing ones, ensuring high-quality performance and compliance with industry standards.

Responsibilities

• Develop models for pricing, margin risk, and stress testing of financial products and derivatives.
• Design, implement, and maintain model prototypes, model library, and model testing tools using best industry practices.
• Implement new models into the model library and enhance existing models.
• Write and review documentation (whitepapers) for 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 the model library, including construction of test cases and automation of model unit testing.
• Participate in model code reviews and model release testing, including margin impact analysis and troubleshooting during model library integration with production applications.
• Support the launch of new products and provide quantitative analysis to risk managers on pricing, margin, and risk calculations.
• Communicate model analysis to professionals across OCC and collaborate with cross-functional departments.

Requirements

• Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, or finance/financial engineering; PhD preferred.
• Five or more years of experience in quantitative areas in finance and/or development experience in model implementation and testing.
• Strong quantitative skills with a deep understanding of financial mathematics, econometrics, data analysis, and risk management methods.
• Strong programming skills in languages such as Java, C++, Python, R, or Scala, with advanced development skills in Python and Java for model implementation.
• Proficiency in database technology and query languages (such as SQL) and experience with non-relational databases and cloud-based computing.

Nice-to-haves

• Experience in Agile/SCRUM framework is highly desirable.
• Certificates or licenses such as FRM or CFA are desirable but not required.
• Experience with high-performance computing is a plus.

Benefits

• Hybrid work environment, allowing up to 2 days per week of remote work.
• Tuition Reimbursement to support continued education.
• Student Loan Repayment Assistance.
• Technology Stipend for remote work devices.
• Generous PTO and Parental leave.
• Competitive health benefits including medical, dental, and vision.