Name of Employer:
The Options Clearing Corporation
Associate Principal, Quantitative Risk Management
125 S. Franklin Street, Suite 1200, Chicago, IL 60606
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. 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 constructions of test cases, automation of model unit testing and creations 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. Create, design and code algorithmic models on futures, options and other financial products for back testing and stress testing. Apply advanced mathematical and statistical models, such as Copula, extreme value theory, and Black-Scholes, in developing risk models and risk management systems. Enrich R and Python code and use SQL to get data from different databases via SQuirrel SQL Client and Microsoft SQL Server. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*
Education & Experience Required:
Master’s degree in finance, financial engineering or financial mathematics and two (2) years of experience as a quantitative analyst.
Special Skills Required:
Must have work experience with each of the following: 1) Creating, designing and coding algorithmic models on futures, options and other financial products for back testing and stress testing; 2) Applying advanced mathematical and statistical models, such as Copula, extreme value theory and Black-Scholes, in developing risk models and risk management systems; and 3) Enriching R and Python code and using SQL to get data from different databases via SQuirrel SQL Client and Microsoft SQL Server.
$100,900.00 – $121,500.00
Apply online at www.theocc.com. No calls. EOE.
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OCC is an Equal Opportunity Employer