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OCC

Clearinghouse offering risk management for derivatives

Director, Quantitative Risk Management

Quantitative RiskConfirmed live in the last 24 hours
Full-timeChicago, IL, USA

About the Job

Requirements

  • A master's degree in finance, financial engineering, financial mathematics, or a related field.
  • Six years of experience as a quantitative risk management analyst, quantitative risk management principal, or in a related role.
  • Work experience developing methodology and Python prototype implementations for implied volatility simulation model enhancements to generate coherent implied volatility surfaces across maturities and strikes.
  • Work experience executing quantitative risk model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling enhancements.
  • Work experience conducting quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL, including investigating symbol- and strategy-level drivers and identifying model limitations and potential enhancement opportunities.

Responsibilities

  • Direct the development, implementation, testing, and maintenance of models used for margin, clearing fund, and stress testing.
  • Develop methodology and Python prototype implementations for implied volatility simulation model enhancements that generate coherent implied volatility surfaces across maturities and strikes.
  • Execute quantitative risk model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling enhancements.
  • Conduct quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL, investigate symbol- and strategy-level drivers, and identify model limitations and potential enhancement opportunities.
  • Support new product launches by participating in discussions with exchanges and internal stakeholders, assessing whether existing quantitative risk models can support new products, coordinating model enhancement discussions, and partnering with technology teams on testing and implementation.
  • Work with risk managers in Financial Risk Management and partners in Information Technology, Model Validation, and Compliance.
  • Manage a team of financial engineers and model developers, and 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; research and present model alternatives based on academic literature, industry best practices, data analysis, and model prototyping.
  • Produce whitepapers and technical documentation using QRM procedures and templates; develop standards, procedures, and tools for model performance monitoring; and communicate results to peers and leadership.
  • Lead and direct implementation of model development tools in QRM for model analysis and backtesting, as well as model analytics in the QRM Library.
  • Partner with IT and other departments to deliver QRM analytics to production, provide production support, and troubleshoot and analyze model, system, and data issues.
  • Lead remediation of Model Validation or regulatory findings and prepare and present materials supporting management and regulatory inquiries.
  • Provide intellectual leadership that promotes innovation and learning.

About the Company

OCC

Clearinghouse offering risk management for derivatives

OCC clears and settles trades in the derivatives market, acting as a central counterparty that guarantees completion of transactions and manages risk. It serves clients including clearing members and exchanges, handling standard options, stock loans, and futures by processing trades, margining, and settlement through its systems. The OCC earns fees based on trade volume and risk management activities, and it emphasizes secure technology like its MyOCC portal to protect authorized users. What sets OCC apart is its focus on being a dedicated, regulated clearinghouse with robust risk controls and technology infrastructure to support the safety and efficiency of derivatives markets. Its goal is to maintain the stability and integrity of financial markets by reducing counterparty risk and ensuring smooth clearing and settlement of trades.

Company size
1,001-5,000
Company stage
Debt Financing
Total funding
Not listed
Headquarters
Chicago, IL
Founded
1973

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