Senior Quantitative Developer at OCC

| Chicago
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The quantitative risk management function within financial risk management is responsible for the development of the Firm’s methodologies for setting margin requirements and analyzing other risk issues. The Senior Quantitative Model Engineer will work closely with the other quantitative risk management team members, business users and IT colleagues to implement and test models for pricing and risk management of complex financial derivatives, as well as to support and enhance existing systems and QRM tools in that domain.

Primary Duties and Responsibilities:

To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.

  • Design quantitative libraries, test automation tools and frameworks using best industry practices and innovations, and enforcing rigorous and consistent standards
  • Implement and test QRM’s models based on the model specification, working closely with others on the team and outside of the department.
  • Develop and validate high-performance numerical algorithms, conforming to high reliability and accuracy standards of the organization.
  • Write and review documentation for the QRM Library API, User Manuals, and Test Plans.
  • Implement standards, processes, and tools for numerical library testing and code quality controls.
  • Review implementation of complex models and algorithms focusing on requirement. verification and code quality. Conduct code review with peers, model validators and model developers.
  • Provide production support for the numerical libraries and risk management systems.
  • Provide integration support to the application consuming QRM libraries.
  • Provide support to business users explaining the numerical output and investigating issues.
Supervisory Responsibilities:
  • N/A


The requirements listed are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.

  • Software and Programming:
    • Extensive programming background is required, with an emphasis on numerical algorithms and scientific computing.
    • Demonstrated experience developing and maintaining enterprise level software. Proven record of delivering major functionality in a collaborative software development setting.
  • Mathematics and Quantitative Finance exposure with a demonstrates understanding in (at least) three of the following technical areas:
    • Pricing and volatility modeling
    • Linear Algebra
    • Monte Carlo simulation
    • Numerical methods and optimization
    • Risk Measures and Margin Models (e.g. VaR, expected shortfall; SPAN, TIMs)
    • Statistical analysis
    • Probability Theory and Stochastic processes
    • Univariate and multivariate statistics and econometrics (e.g. time series analysis, fat-tailed distributions, copula, etc.)
    • Portfolio theory
  • Strong problem-solving skills. Be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources.
  • Ability to challenge model methodologies, model assumptions, and validation approach.
  • Strong financial products knowledge and familiarity with markets, basic trading and hedging strategies, especially for equity derivative products.
  • Good interpersonal, verbal and written communication skills. Able to explain highly technical information to different audiences with varying levels of technical expertise.
  • Able to follow sophisticated theoretical model documentation as well as create research notes and technical documentation according to OCC/QRM’s model documentation standards. Able to explain complex and technical information in a clear and concise manner. Must demonstrate proven technical writing skills.
  • A good team player.

Technical Skills:

  • Expert level proficiency in Java or another object-oriented language.
  • Experience with numerical libraries and/or scientific computing.
  • Experience with automated Quality Assurance frameworks for unit, system, and performance testing.
  • Experience in (at least) one scripting language such as Python, R or MATLAB.
  • SQL is required, non-relational DB and other Big Data experience preferred.
  • Experience with code repositories, build and deployment tools (e.g. Git, GitHub, Jenkins, SVN).
  • Experience in Agile/SCRUM framework is desired.
Education and/or Experience:
  • Graduate degree in a quantitative/computational field such as statistics, financial mathematics, quantitative finance, computer science, physics, mathematics.
  • 7+ years of relevant experience
Certificates or Licenses:
  • N/A

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Adjacent to the Willis Tower, close to CTA, Metra and expressways with plenty of food and entertainment options nearby.

An Insider's view of OCC

What are some social events your company does?

Monthly happy hours, summer and winter outings and cultural celebrations to honor our diverse workforce.


Principal, Diversity and Inclusion

What are OCC Perks + Benefits

OCC Benefits Overview

Educational Assistance and Student Debt Forgiveness, 12-week paid parental leave, technology stipend up to $2,000, mobile data reimbursement of $35 per month. Open offices, online health coaching.

Volunteer in local community
Each year, OCC employees select a locally-based charitable organization for each of our three offices (Chicago, Dallas and Washington, D.C.). We offer multiple opportunities to get involved.
Friends outside of work
Daily stand up
Open door policy
Team owned deliverables
Team based strategic planning
Open office floor plan
Dedicated Diversity/Inclusion Staff
Someone's primary function is managing the company’s diversity and inclusion initiatives
Health Insurance & Wellness Benefits
Flexible Spending Account (FSA)
Disability Insurance
Dental Benefits
Vision Benefits
Health Insurance Benefits
Life Insurance
Wellness Programs
Retirement & Stock Options Benefits
401(K) Matching
OCC provides employees with a 401(k) matching plan managed by Fidelity. We match 50% of contributions up to 6% of an employee's annual gross pay.
Performance Bonus
Match charitable contributions
Child Care & Parental Leave Benefits
Flexible Work Schedule
OCC provides employees with a flexible work schedule that includes Flexible start and end times.
Vacation & Time Off Benefits
Generous PTO
OCC employees receive between 22 and 32 days per year of paid time off based on years of service.
Paid Volunteer Time
Eligible employees get 30 days of paid sabbatical after their first 10 years of working at the company.
Paid Holidays
Perks & Discounts
Commuter Benefits
OCC Offers pre-tax commuter benefits for employees in Chicago and Washington, D.C.
Happy Hours
Relocation Assistance
OCC offers relocation assistance which varies based on the position level and location.
Professional Development Benefits
Job Training & Conferences
OCC offers employees professional development opportunities including onsite training courses and the ability to attend job related certification courses, conferences and seminars.
Tuition Reimbursement
Our tuition reimbursement plan offers an annual max of $1000.
Lunch and learns
OCC hosts leadership lunches on a regular basis so you can learn about your colleagues and their unique backgrounds.
Cross functional training encouraged
Promote from within
Online course subscriptions available
Customized development tracks
Paid industry certifications
Employees are strongly encouraged to stay current in relevant technologies and supports certification programs.
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