Director, Quantitative Risk Management - Machine Learning
This role directs the development, implementation, testing and maintenance of models used for margin, clearing fund and stress testing. The range of responsibilities, varies depending on his/her focus within QRM, that includes research and development of significant model features, leading prototype development and testing, designing tools for model performance monitoring, managing or providing technical leadership for model prototypes, implementing and supporting integration of model code library into OCC risk systems. This role will work closely with risk managers in Financial Risk Management and partners in other areas, including Information Technology, Model Validation, and Compliance.
- Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives |Oversee analysis of new products and drive their implementation at OCC
- Research and present model alternatives based on the academic literature, industry best practices, data analysis and model prototyping
- Produce high quality white papers and technical documentation following QRM’s procedures and templates
- Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership
- Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting
- Lead and direct implementation of the model analytics in the QRM Library
- Partner with IT and other departments delivering QRM analytics to production
- Lead remediation of Model Validation or regulatory findings
- Prepare and present materials supporting management and regulatory inquiries
- Provide intellectual leadership promoting innovation and learning
- Manage a team
Are the essential duties of this job required to be performed in an OCC office location?No
Qualifications & Experience
- [Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
- [Required] Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
- [Required] Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
- [Required] Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
- [Required] Financial products knowledge: seasoned level in understanding of markets and financial derivatives in equities, interest rate, and commodity products
- [Required] Seasoned level in programing skills
- [Required] Advanced proficiency in using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: [Required] Model development and prototyping requires advanced development skills in Python and data mining
- [Required] Model implementation requires advanced Java programming ability and a demonstrated ability in developing and maintaining enterprise level software
- [Required] Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources
- [Required] Ability to challenge model methodologies, model assumptions, and validation approach
- [Required] Seasoned level in expertise in technical and scientific documentation (e.g., white papers, user guides, etc.)
- [Required] Experience in Agile/SCRUM framework
Technical Skills & Background
- [Required] Seasoned level in database technology and query languages (such as SQL) and familiarity with big data tools and technologies
- [Required] Experience with scientific or numerical software libraries
- [Required] For model development and prototyping role: Seasoned in Python, R, or MATLAB
- [Required] For model implementation role: Proficient in Java or other object-oriented programming language; Experience with collaborative development frameworks, e.g. Agile/SCRUM; Seasoned expertise of software development design patterns; Seasoned expertise in object-oriented design
- [Required] Experience with automated quality assurance frameworks is required (e.g., Junit, TestNG, PyTest, etc.) for model testing
- [Required] Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel
- [Preferred] Experience with high performance computing
- [Preferred] FRM, CFA, etc.
Education & Training
- [Required] Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
- [Preferred] PhD
- [Required] 10+ years of combined experience in data science / quantitative modeling / artificial intelligence / ML in financial industry / market and knowledge of financial products, advanced econometrics in finance
- [Required] 5+ years of experience in people management
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: Oct. 18, 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.