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The Options Clearing Corporation (OCC) · 1 month ago

Lead Associate Principal, Quantitative Risk Management

Chicago - 125 S Franklin

Full-time

Hybrid

Senior Level, Lead/Staff

$171K/yr - $219K/yr

2+ years exp

The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization, dedicated to promoting stability and market integrity. They are seeking a Lead Associate Principal in Quantitative Risk Management to develop models for pricing, margin risking, and stress testing of financial products, while also implementing and maintaining model prototypes and libraries.

FinanceFinancial ServicesProperty Management

H1B Sponsor Likely

Responsibilities

Develop models for pricing, margin risking and stress testing of financial products and derivatives

Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations

Implement new models into model library and enhance existing models

Write and review documentations (whitepapers) for the models, model prototypes and model implementation

Perform model performance testing, including portfolio back-testing using historical data

Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality

Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed

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

Implement advanced mathematical and statistical predictive models for risk management using GARCH models, Expected Shortfall models, or Copula-based models

Design and apply model validation and performance monitoring studies using advanced statistical methods such as regression discontinuity designs for causal inference, Kolmogorov-Smirnov tests for data-drift detection, or Kupiec test for Value-at-Risk backtesting

Develop quantitative software using programming languages Python, R or MATLAB, building SQL data extraction pipelines for SQuirrel SQL Client or Microsoft SQL Server, and create quantitative libraries and software repositories with Github

Implement advanced optimization algorithms such as Stochastic Optimization, Markov Chain Monte Carlo or Quadratic Programming

Support the launch of new products

Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations

Communicate model analysis to professionals across the company and collaborate with cross-functional departments

Qualification

GARCH modelsExpected Shortfall modelsPythonRMATLABSQLGithubStochastic OptimizationMarkov Chain Monte CarloQuadratic ProgrammingRegression Discontinuity DesignsKolmogorov-Smirnov testsKupiec testQuantitative AnalysisModel ValidationModel TestingCollaborationCommunication

Required

Master's degree in computer science, statistics, mathematics, physics or related

Two (2) years of experience as a Quantitative Analytics Specialist, Quantitative Researcher, or related

Must have work experience with each of the following: 1) implement advanced mathematical and statistical predictive models for risk management using GARCH models, Expected Shortfall models, or Copula-based models; 2) design and apply model validation and performance monitoring studies using advanced statistical methods such as regression discontinuity designs for causal inference, Kolmogorov-Smirnov tests for data-drift detection, or Kupiec test for Value-at-Risk backtesting; 3) develop quantitative software using programming languages Python, R or MATLAB, building SQL data extraction pipelines for SQuirrel SQL Client or Microsoft SQL Server, and create quantitative libraries and software repositories with Github; and 4) implement advanced optimization algorithms such as Stochastic Optimization, Markov Chain Monte Carlo or Quadratic Programming

Benefits

A hybrid work environment, up to 2 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

401k Employer Match

Competitive health benefits including medical, dental and vision

Company

The Options Clearing Corporation (OCC)

Glassdoor3.3

The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization.

Founded in 1973

Chicago, Illinois, USA

1001-5000 employees

https://www.theocc.com/

H1B Sponsorship

The Options Clearing Corporation (OCC) has a track record of offering H1B sponsorships. Please note that this does not guarantee sponsorship for this specific role. Below presents additional info for your reference. (Data Powered by US Department of Labor)

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2025 (94)

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2023 (72)

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2021 (37)

2020 (56)