Associate Principal, Model Risk Management, Analysis
What You'll Do:
The Associate Principal is responsible for one or more functions within Model Risk Management (MRM) to analyze model risk across pricing, margin, clearing fund, stress testing and liquidity models: model performance monitoring; model benchmarking and testing; and model validation. The Associate Principal will collaborate with other MRM staff and FRO team, data & technology staff, and colleagues in FRM/QRM to assess model risk and associated remediations.
To perform this job successfully, an individual must be able to perform each assigned essential duty satisfactorily:
Review and assess model risk across pricing, margin risk and stress testing of financial products and derivatives.
Design and implement benchmark models and model testing tools, including backtesting, using best industry practices and innovations.
Write and review validation documentation.
Perform model performance testing, including portfolio back-testing using historical data.
Review implementation of models and systems focusing on requirement verification.
Collaborate with MRM and FRO teams on model risk analysis.
Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC.
Education and/or Experience:
Master’s degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. PhD preferred.
7+ years of related experience in quantitative modeling in finance and/or advanced degree.
The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions:
Strong quantitative skills, ability to demonstrate deep understanding in the following technical areas:
Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula models, etc.)
Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis) and familiarity with regulatory expectations of model risk.
Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products.
Strong programing skills. Able to read and write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.):
Proficiency in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience is a plus.
Experience in a scripting language such as Python, R or MATLAB is required.
The ability to write independent code for testing.
Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine root cause and identify potential solutions.
The ability to challenge model methodologies, model assumptions, and review of validation approach.
Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.).
The ability to work independently.
OCC, founded in 1973, is the world's largest equity derivatives clearing organization. OCC is dedicated to promoting stability and financial integrity in the marketplaces that it serves by focusing on sound risk management principles. We serve 16 options exchanges, 2 futures exchanges and 1 stock loan alternative trading system. OCC has over 100 clearing members, including several of the largest U.S. broker-dealers.
What We Offer
A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include:
• A hybrid work environment, up to 3 days per week of remote work
• Tuition Reimbursement to support your continued education
• Student Loan Repayment Assistance
• Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely
• Generous PTO and Parental leave
• Competitive health benefits including medical, dental and vision.
When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.
You will receive an email notification to confirm that we've received your application.
If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.
OCC is an Equal Opportunity Employer
- Chicago - 125 S Franklin
- Full Time Regular
- Posted: Jun. 23, 2023
How to Apply
Step 1 - When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.
Step 2 - You will receive an email notification to confirm that we've received your application.
Step 3 - If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.
OCC is an Equal Opportunity Employer
Numerous studies have shown that people from groups that are traditionally under-represented in financial services apply to jobs only if they believe they meet 100% of the requirements. We want to break down this mindset to further diversify our workforce.
We encourage you to review our open positions and apply if you think your experience may be a match, even if you do not meet all of the qualifications. Your perspective may be an element we need to continue building innovative solutions to support the markets and market participants we serve.
OCC is a globally recognized entity that clears a multitude of diverse and sophisticated products. We want to reflect this in the diversity of our workforce.