Name of Employer:
The Options Clearing Corporation
Senior Model Risk Analyst
125 S. Franklin Street, Suite 1200, Chicago, IL 60606
Assist in the production of monthly reports to fulfill regulatory obligations by evaluating portfolios and identifying the key drivers of risk and P&L, using Kupiec and Christofferson Tests, and reviewing how model parameters behave in isolation and in aggregate. Review monthly reports to identify outliers and investigate the reason for any outliers using a number of tools such as Matlab, Python, SQL and/or internal Encore screens. Use object-oriented programming languages (Matlab, R and Python) along with complex SQL queries to extract data related to the margin models, investigate aspects of the GARCH framework and perform Monte Carlo simulations. Maintain and improve the existing model monitoring scripts by re-writing the programs and/or updating the SQL queries in the scripts. Create new monitoring scripts related to margin models such as GARCH framework and Vega/Delta liquidity risk using Matlab, R, and Python. Contribute to the automation of Model Performance Monitoring by assisting other analyst(s) in the Python code development process and reviewing output to ensure accuracy. Coordinate across different departments to ensure proper implementation of models, facilitate the model validation process, and investigate and mitigate model issues. Model market liquidity for Vega risk and Delta risk.*This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*
Education & Experience Required:
Master’s degree in economics, finance or risk management and two (2) years of experience in model risk analysis or quantitative analysis. In lieu of a master's degree in economics, finance or risk management and 2 years of experience in model risk analysis or quantitative analysis, will accept a bachelor's degree and five years of experience in the same fields.
Special Skills Required:
Must have work experience with each of the following: 1. Performing quantitative analysis using object-oriented programming (Matlab, R and Python) for margin risk models such as GARCH framework or Monte Carlo simulation; 2. Model market liquidity for Vega risk and Delta risk; and 3. Developing complex queries to extract data using SQL.
Apply online at www.theocc.com. No calls. EOE.