Lead Associate Principal, Quantitative Risk Management
SALARY: $190k - $210k plus Bonus
LOCATION: CHICAGO, IL
Hybrid 3 days in office. Open to h1b transfer
Looking for a candidate with a masters/Phd - quant to develop and maintain risk models. Must know derivatives financial mathematics econometrics data analysis Java C++ python Rscala SQL Matlab Junit testing Pytest
This role is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. This role will collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models.
Responsibilities
Develop models for pricing, margin risking and stress testing of financial products and derivatives
Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations
Implement new models into model library and enhance existing models
Write and review documentations (whitepapers) for the models, model prototypes and model implementation
Perform model performance testing, including portfolio back-testing using historical data
Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality
Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed
Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support
Support the launch of new products
Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations
Communicate model analysis to professionals across OCC and collaborate with cross-functional departments
Qualifications & Experience
Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
Econometrics, data analysis (eg, time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
Strong programming skills. Able to read and/or write code using a programming language (eg, Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
Technical Skills & Background
Proficiency in database technology, query languages (such as SQL), and efficient storage and serialization protocols
For model development and prototyping role: proficiency in a Scripting language such as Python, R or MATLAB
Experience with numerical libraries and/or scientific computing including numerical optimizers (eg NAG, MATLAB)
Experience with automated testing frameworks (eg, Junit, TestNG, PyTest, etc.)
Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
(Preferred) PhD degree in one of the above fields
7+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing
