Lead Assoc Principal, Quantitative Risk Management

Job Title

This role is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation.

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
• 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 OCC and collaborate with cross-functional departments

Supervisory Responsibilities

• None

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: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
• [Required] Strong programming skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
• [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] Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)
• [Preferred] Experience in Agile/SCRUM framework

Technical Skills & Background

• [Required] Proficiency in database technology and query languages (such as SQL)
• [Preferred] Non-relational DB and other Big Data, cloud-based computing experience
• [Required] Proficiency in Java is required for model implementation (Java 8 or later)
• [Required] Experience in a scripting language such as Python, R or MATLAB
• [Required] Experience with numerical libraries and/or scientific computing |[Preferred] Experience with numerical optimizers using NAG, Matlab or similar| [Required] Experience with automated quality assurance frameworks is required (e.g., Junit, TestNG, Selenium, etc.) for model testing
• [Required] Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins)
• [Required] Software design: effective application of design patterns, expertise in object-oriented design
• [Preferred] Experience with high performance computing
• [Required] Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel

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] 5-7 years of experience in quantitative areas in finance and/or development experience in model implementation and testing