OCC
We clear and settle trades for the options industry.
Chicago, IL
Hybrid

VP Quantitative Risk Management

Sorry, this job was removed at 8:30 a.m. (CST) on Wednesday, May 13, 2020
Find out who's hiring in Chicago.
See all Data + Analytics jobs in Chicago
Apply
By clicking Apply Now you agree to share your profile information with the hiring company.

Summary:

Reporting to the SVP in Quantitative Risk Management (QRM), the individual will be leading the effort in developing/enhancing risk modeling framework for margin and stress testing at OCC. 

 

She/he will be leading the model development process that includes developing model theory/assumptions, performing tests, establishing developmental evidence, performing coding in analytical library, writing model documentation, providing support in model validation, reviewing and signing off on system implementation. Furthermore, she/he will work closely with the business and development teams to remediate gaps and improvements identified by internal control teams or external regulators.

Essential Duties and Responsibilities:

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

  • Lead the development of quantitative risk models and methodologies.
  • Critically review the underlying theory, assumptions, limitations, implementation and performance of the methodology and models.
  • Partner with the Model Validation, Model Governance, Compliance and Audit functions to address all exam findings within agreed upon deadline and to provide model transparency and enhancing analytics capability
  • Defend rationale for quantitative decisions related to various metrics, such as distributions, historical time periods, simulations, and volatility moves.
  • Provide intellectual and technical leadership to QRM team
  • Communicate complex technical material at appropriate technical or non-technical levels so that it may be understood by a wide range of constituents
  • Lead communications with regulatory examiners and external parties relating to the foundation of OCC’s models and risk analytics. 
  • Write, review and signoff model documents, and provide technical supports to staff members, internal control teams and regulatory examiners.
  • Partner with IT teams to develop plans to remediate the model gaps identified by internal/external teams.
  • Play a key role in re-shaping current STANS Expected Shortfall margin model and TIMS margin model to handle innovative new products, enhancing the algorithms to allow for more robust calculations, and ensuring proper margin coverage of various product and portfolios.
  • Manage/mentor team of quants

 

Supervisory Responsibilities:

  • Manage/mentor a team of quants, whose typically have a PhD or Master’s level degree in a quantitative subject.
    • Lead a quant team to develop risk models and methodologies; partner with Business and Legal to formulate policies and procedures
    • Help build to strong analytical skill set of team members
  • Writes employee performance appraisals
  • Promote staff’s personal and career development

Qualifications:

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 essential functions.

  • Extensive experiences in development of pricing models of equity derivative products including both vanilla options and exotic options (e.g., American, Binary, Asian, and Cliquets).
  • Proficient experiences in the constructions of implied volatility surfaces.
  • Excellent knowledge in numerical techniques such as Monte Carlos simulation, binomial trees, finite difference and numerical PDEs.
  • Strong knowledge of the option pricing theory and market practices.
  • Significant experience with developing Risk Management models for derivative instruments (e.g., Historical VaR, Monte Carlo simulation, TIMS and SPAN);
  • Must be able to work in a team environment and be able to manage/mentor a large team of junior/senior level quants.
  • Must possess strong oral and written communication skills with both business and quantitative departments.
  • Excellent oral and written communication skills
  • Proven leadership and supervisory abilities
  • Strong problem-solving skills

 

Technical Skills:

  • Broad knowledge across: strong stochastic modeling techniques (pricing and simulation), financial econometrics, derivative instruments across asset classes, numerical methods, mathematical programming, risk management, stress testing, with specialist expertise in several of these areas.
  • Programming skills in Java, C++, R, Python, MATLAB or VB.

 

Education and/or Experience:

  • Master’s degree or higher in Finance, Economics or a quantitative field such as physics possessing strong quantitative, analytical and problem-solving skills with 7+ years of practical experience in financial risk modeling/analytics and stress testing methodology. 
  • 4+ years of experience in leading/mentoring junior quants in quantitative risk modeling/analytics area.

Certificates or Licenses:

N/A

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. 

See More
Apply Now
By clicking Apply Now you agree to share your profile information with the hiring company.

What are OCC Perks + Benefits

OCC Benefits Overview

Educational Assistance and Student Debt Forgiveness, 12-week paid parental leave, BYOD program with technology stipend up to $2,000 every three years, $35 per month pay to offset costs of mobile data plans. Open offices, online health coaching.

Culture
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.
Partners with nonprofits
OCC Partners with local organizations in Dallas, Chicago and DC to raise funds and support their missions. Employees select the charity and are eligible for up to 8 hours of paid time to volunteer.
Open door policy
OKR operational model
Team based strategic planning
Open office floor plan
Flexible work schedule
OCC provides employees with a flexible work schedule that includes Flexible start and end times.
Remote work program
2 days per week work from home program
Diversity
Dedicated diversity and inclusion staff
Mandated unconscious bias training
Diversity employee resource groups
Health Insurance & Wellness Benefits
Flexible Spending Account (FSA)
Disability insurance
Dental insurance
Vision insurance
Health insurance
HSA or FSA accounts available for those enrolled in medical plans.
Life insurance
Wellness programs
Includes back-up child or elder care along with other wellness programs.
Mental health benefits
Financial & Retirement
401(K)
401(K) matching
OCC provides employees with a 401(k) matching plan managed by Fidelity. We match 50% of contributions up to 12% of an employee's annual gross pay.
Performance bonus
Charitable contribution matching
Child Care & Parental Leave Benefits
Generous parental leave
12-week paid parental leave
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
Sabbatical
Eligible employees get 30 days of paid sabbatical after their first 10 years of working at the company.
Paid holidays
Paid sick days
Office Perks
Commuter benefits
OCC Offers pre-tax commuter benefits for employees in Chicago and Washington, D.C.
Company-sponsored happy hours
Relocation assistance
OCC offers relocation assistance which varies based on the position level and location.
Home-office stipend for remote employees
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 $10000.
Lunch and learns
OCC hosts leadership lunches on a regular basis so you can learn about your colleagues and their unique backgrounds.
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.

Additional Perks + Benefits

We were recently recognized as one of LinkedIn's Top Company in Financial Services! Take a look at our blog post here: https://www.theocc.com/newsroom/press-releases/2022/06-23-linkedin-list…

More Jobs at OCC

Apply Now
By clicking Apply Now you agree to share your profile information with the hiring company.
Learn more about OCCFind similar jobs like this