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 model development of pricing and margin risk models. Perform developmental analysis to justify modeling assumptions. Write and review high-quality model documentation meeting industry standards. Perform model performance testing, including portfolio back-testing using historical data. Design, implement and maintain comprehensive model prototypes, model library and model testing tools. Communicate model analysis and collaborate with cross-functional departments. Conduct peer review of complex models and algorithms. Support the launch of new products in pricing and clearing. Design the algorithms, develop and maintain the prototype code in Python for model enhancement, such as the construction of term-structure dividend yield. Collect and analyze data for the forward behavior for long-dated options and model limitations of Asian options, conduct impact analysis on contract and portfolio levels, and propose improvements.  Conduct analysis using latest research and regulatory guidance on pro-cyclicality behavior of production risk models and new models in development. *This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required:

Master’s degree in finance, financial mathematics or related and one (1) year of quantitative analysis experience.

Special Skills Required:

Must have work experience with each of the following: 1) Designing the algorithms, developing and maintaining the prototype code in Python for model enhancement, such as the construction of term-structure dividend yield; 2) Collecting and analyzing data for the forward behavior for long-dated options and model limitations of Asian options, conducting impact analysis on contract and portfolio levels, and proposing improvements; and 3) Conducting analysis using latest research and regulatory guidance on pro-cyclicality behavior of production risk models and new models in development.

Salary

$100,900-$121,500

Apply:

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

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Step 3
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OCC is an Equal Opportunity Employer