Associate Principal, Quantitative Risk Management

Name of Employer:

The Options Clearing Corporation

Job Title:

Associate Principal, Quantitative Risk Management

Location:

125 S. Franklin Street, Suite 1200, Chicago, IL 60606

Duties:

Responsible for developing and maintaining risk models: model analytics and performance monitoring; model prototyping and testing; and model implementation.  Collaborate with other quantitative analysts, business users, data and technology staff, and model validation colleagues to implement new models and enhance existing models. Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations. Develop and implement options pricing model to build implied volatility surface on daily basis, and monitor the market volatility fluctuation using stochastic calculus, derivatives pricing models and probability theory. Use time-series method, GARCH model, and EWMA model to capture historical volatility and apply on current market to assess risk. Use Monte Carlo simulation to build historical market move scenarios to calculate the risk charges for client portfolios and trading strategies. Perform model performance testing, including portfolio back-testing using historical data. Write and review documentations for models, model prototypes and model implementation. Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality. 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.  Writes code using Object Oriented Programming languages such as Python, R, and MATLAB to perform calculation, analysis, and reporting. Up to 40% telecommuting permitted. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required:

Master’s degree in CS, mathematics, engineering, finance or related and three (3) years of experience as a  quantitative analyst, quantitative risk management consultant/associate or related.

 

Special Skills Required:

Must have work experience with each of the following: 1) Develop and implement options pricing model to build implied volatility surface on daily basis, and monitor the market volatility fluctuation using stochastic calculus, derivatives pricing models and probability theory; 2) Use time-series method, GARCH model, and EWMA model to capture historical volatility and apply on current market to assess risk; 3)     Use Monte Carlo simulation to build historical market move scenarios to calculate the risk charges for client portfolios and trading strategies; and 4) Write code using Object Oriented Programming languages such as Python, R, and MATLAB to perform calculation, analysis and reporting.

Salary

$136,200 - $193,300

Apply:

Apply online at www.theocc.com. No calls. EOE.

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. 

For more information about OCC, please click here.

OCC is an Equal Opportunity Employer

Apply About OCC
  • REQ-3632
  • Chicago - 125 S Franklin
  • Full Time Regular
  • Posted: Jan. 16, 2024

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.

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