Senior Quantitative Developer, Model Engineering at OCC

| Chicago
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Summary

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 Developer 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 support and enhance existing systems 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 using best industry practices and innovations, and enforcing rigorous and consistent standards
  • Implement models for pricing and risk management of complex financial derivatives, working closely with others on the team and outside of the department.
  • Develop high-performance numerical algorithms, conforming to the high reliability and availability standards of the organization
  • Write and review documentation for the implemented models and code libraries
  • 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 and obtain their feedback.
  • 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

 

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.

 

  • 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, GARCH, 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. Conducts necessary literature reviews and independent research to identify the most salient solutions to solve the underlying problems.
  • 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 create technical documentation according to OCC/QRM’s model documentation standards and 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 is required.
  • Experience with numerical libraries and/or scientific computing is required.
  • Experience with automated Quality Assurance frameworks is required (e.g. Junit, TestNG, , etc.).
  • Experience with code repository, build and deployment tools (e.g. Git, GitHub, Jenkins, SVN).
  • Experience in Agile/SCRUM framework desired.
  • Experience in a scripting language such as Python, R or MATLAB is desired.
  • SQL knowledge is desired.

 

Education and/or Experience:

  • Graduate degree in a quantitative/computational field such as statistics, financial mathematics, quantitative finance, computer science, physics, mathematics

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.

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Technology we use

  • Engineering
    • .NETLanguages
    • C#Languages
    • C++Languages
    • JavaLanguages
    • JavascriptLanguages
    • PerlLanguages
    • PythonLanguages
    • RLanguages
    • RubyLanguages
    • ScalaLanguages
    • SqlLanguages
    • SwiftLanguages

Location

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.

Yemi

Director, 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.

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.
Friends outside of work
Daily stand up
Open door policy
Team owned deliverables
Team based strategic planning
Open office floor plan
Diversity
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)
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
Our employees receive 8 hours per year of paid volunteer time.
Sabbatical
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
Happy hours are hosted Once per month.
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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