Manager, Quantitative Risk Management

Duties :

Lead and support a team of quantitative analysts and developers in one or more functions within the group to develop, implement and maintain risk models for margin, clearing fund and stress testing : model analytics and performance monitoring; model prototyping and testing; and model implementation. Responsible for project outcomes and collaborating with cross-functional teams involving risk managers in Financial Risk Management, Information Technology, Model Validation and Compliance. Lead, support and review development of models for pricing, margin risk and stress testing of financial products and derivatives. Create, design and code algorithmic models on futures, options and other financial products for back testing and stress testing in R and Python. Apply advanced mathematical and statistical models using Copula, extreme value theory and Black-Scholes in developing risk models and risk management systems. Enhance code using SQL to fetch data from different databases via R, Python, Squirrel SQL Client and Microsoft SQL Server. Leverage R and Python to create, design, and code algorithmic models on futures, options and other financial products for back testing and stress testing purposes as well as to design and implement model performance monitoring metrics and automate the monitoring process. Provide training to team in conducting comprehensive quality assurance testing on model library and model. Write and review documentation (such as whitepapers and technical documentation) for the models, model prototypes and model implementation. Participate in peer review of model documentation, model code, 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. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Participate in and support team in preparing materials for the Risk Committee and model filings with regulators. Manage a team of financial engineers / model developers. Up to 40% telecommuting permitted. OCC offers a standard benefits package.

• This position qualifies for The Options Clearing Corporation's Employee Referral Program.

Education & Experience Required :

Master's degree in computer science, finance, financial engineering, or financial mathematics and five (5) years of experience as a quantitative analyst, associate principal (QRM), or related

Special Skills Required :

Must have work experience with each of the following : 1) leveraging R and Python to create, design, and code algorithmic models on futures, options and other financial products for back testing and stress testing purposes as well as to design and implement model performance monitoring metrics and automate the monitoring process; 2) applying advanced mathematical and statistical models using Copula, extreme value theory and Black-Scholes in developing risk models and risk management systems; and 3) enhancing code using SQL to fetch data from different databases via R, Python, Squirrel SQL Client and Microsoft SQL Server. Up to 40% telecommuting permitted.

Salary

$171,300-$219,100

Apply :

OCC offers a standard benefits package. See a full list of benefits here : Apply online at www.theocc.com. No calls. EOE.

About Us

The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. Founded in 1973, OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. As a Systemically Important Financial Market Utility (SIFMU), OCC operates under the jurisdiction of the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity Futures Trading Commission (CFTC), and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty (CCP) clearing and settlement services to 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com.

Benefits

A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include :

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Compensation

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Step 3

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OCC is an Equal Opportunity Employer