Summary 

The Senior Financial Engineer's overall responsibility is to validate OCC’s production models, including proposed model enhancements and new models, according to the model validation standards as specified in the model validation procedures and within the time frames required to meet the SEC annual model validation expectations.

Primary Duties and Responsibilities: 

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

• Review and validate quantitative risk model documentation

• Verify accuracy and reliability of the software implementation of the model

• Develop and implement complex independent tests to validate the model implementation

• Develop model risk analysis tools, such as back testing tools, to support ongoing model validation

• Develop and implement repeatable back testing suites for both new and existing models

• Develop and implement independent models to benchmark OCC production models

• Assess the models by ensuring that the data used is valid

• Document testing activities

• Document validation activities

• Communicate with Quantitative Risk Management and other departments about issues and concerns

• Provide expert knowledge on recommendations throughout validation processes

• Create logical and innovative solutions to complex problems

Supervisory Responsibilities:

• N/A

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 primary functions.

• Two or more years software development experience in C++, Java, C#, solid object oriented programming skills, MS SQL Server database, or similar

Technical Skills:

• Two or more years software development experience in C++, Java, C#, solid object oriented programming skills, MS SQL Server database, or similar

• Experience in Matlab and R/Splus desirable•

Education and/or Experience:

• Advanced degree in mathematical finance, econometrics, mathematics, physics or similar discipline with quantitative focus

• 5+ years of related experience

• Quantitative finance at the level of “Measuring Market Risk” by Kevin Dowd, or similar

Certificates or Licenses:

• N/A