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Chicago, Illinois, United States
Hybrid
Duties:
Responsible for one or more functions within Model Risk Management (MRM) to analyze model risk across pricing, margin, clearing fund, stress testing and liquidity models. Collaborate with MRM staff and other teams reporting to the Chief Risk Officer, including, data & technology staff. Conduct independent reviews to assess model risk and associated remediations. Design and implement benchmark models and model-testing tools, including backtesting, using best industry practices and innovations. Write and review validation documentation. Perform model performance testing, including portfolio back-testing using historical data. Review implementation of models and systems focusing on requirement verification. Collaborate with other team members in Model Risk Management and Financial Risk Oversight. Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC. Analyze risk of new products. Quantify the impact of withdrawing excess collateral on Expected Shortfall values and the collateral haircut approximation error in the validation of the collateral haircut model using RStudio and SQuirrel SQL Client. Evaluate the return distributions and simulated Monte Carlo scenarios of option-based ETFs in the validation of the option pricing model and NBBO outliers of intraday prices for 0DTE options using RStudio and SQuirrel SQL Client. Use RStudio and SQuirrel SQL Client to examine calculations that underpin the methodologies for margin, stress testing, and liquidity risk management. Review Vega liquidation charge calibration changes for cryptocurrency and construct analyses on topics related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate the performance of Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts. Perform model performance testing, including portfolio back-testing using historical data, and review model and algorithm implementations with a focus on requirement verification, coding, and testing quality. Conduct quality assurance testing on the model library, including constructing test cases, automating unit testing, and creating reference models as needed. Participate in model code reviews, model release testing, and production support, including margin impact analysis, baseline support, troubleshooting, and integration with production applications. Support the launch of new products, provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations, and communicate model analysis while collaborating with cross-functional departments. Up to 40% telecommuting permitted. OCC offers a standard benefits package.*This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*
Education & Experience Required:
Master’s degree in finance, financial engineering, financial mathematics, or related and two (2) years of experience as a model risk management associate, quantitative risk management analyst, or related
Special Skills Required:
Must have work experience with each of the following: 1) quantify the impact of withdrawing excess collateral on Expected Shortfall values and the collateral haircut approximation error in the validation of the collateral haircut model using RStudio and SQuirrel SQL Client; 2) evaluate the return distributions and simulated Monte Carlo scenarios of option-based ETFs in the validation of the option pricing model and NBBO outliers of intraday prices for 0DTE options using RStudio and SQuirrel SQL Client; 3) use RStudio and SQuirrel SQL Client to examine calculations that underpin the methodologies for margin, stress testing, and liquidity risk management; and 4) review Vega liquidation charge calibration changes for cryptocurrency and construct analyses on topics related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate the performance of Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts. Up to 40% telecommuting permitted.
Salary
$111,100-$155,500
Apply:
OCC offers a standard benefits package. See a full list of benefits here: https://www.theocc.com/careers/thriving-together. Apply online at www.theocc.com. No calls. EOE.
About Us
The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. Founded in 1973, OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. As a Systemically Important Financial Market Utility (SIFMU), OCC operates under the jurisdiction of the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity Futures Trading Commission (CFTC), and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty (CCP) clearing and settlement services to 23 exchanges and trading platforms. More information about OCC is available at www.theocc.com.
Benefits
A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include:
Visit https://www.theocc.com/careers/thriving-together for more information.
Compensation
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OCC is an Equal Opportunity Employer