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Director, Quantitative Risk Management - Machine Learning
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locations
Chicago - 125 S Franklin
time type
Full time
posted on
Posted 2 Days Ago
job requisition id
REQ-3488
Summary
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.
Responsibilities
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
Supervisory Responsibilities
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
Certifications
[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
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.
For more information about
OCC
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OCC is an Equal Opportunity Employer
What We Offer
What We Offer
A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include:
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
Competitive health benefits including medical, dental and vision
About Us
OCC is an Equal Opportunity Employer
OCC is an equal opportunity employer that is committed to diversity, equity, and inclusion. OCC provides equal employment opportunities to all employees and applicants for employment without regard to race, color, national origin, citizenship status, sex, sexual orientation, gender identity or expression, disability, age, marital status, religion, veteran status, or any other characteristics protected by applicable federal, state, or local laws.
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.
If you need a disability related accommodation for any part of the application process, please email
********
.
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 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com.
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