Director Quantitative Risk Management at OCC

| Chicago
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Reporting to the VP 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, the Comprehensive Stress Testing (CST)/Clearing Fund 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
  • Promote staff’s personal and career development


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. 
  • 3+ years of experience in leading/mentoring junior quants in quantitative risk modeling/analytics area.

Certificates or Licenses:


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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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