Associate Principal, Model Risk Management, Validation

OCC • Chicago, IL

2d • $111,100 - $155,500 • Hybrid

About The Position

The Associate Principal, Model Risk Management, Validation is responsible for one or more Model Risk Management (MRM) functions, analyzing risk across pricing, margin, clearing fund, stress testing, and liquidity models. The role conducts independent model risk reviews, assesses remediation, designs and implements benchmark models and model-testing tools, and prepares and reviews validation documentation. It performs model performance testing, including portfolio back-testing on historical data, and reviews model and system implementations with a focus on requirements verification, coding, and testing quality.

The position examines calculations and methodologies for margin, stress testing, and liquidity risk management; evaluates collateral haircut and option pricing models; and analyzes cryptocurrency, option-based ETFs, collateral, portfolio concentration, and related risk topics. It also supports model-library quality assurance, code reviews, release testing, production support, new product launches, and risk managers with quantitative analysis of pricing, margin, and risk calculations. The role collaborates with MRM, Financial Risk Oversight, other Chief Risk Officer teams, data and technology staff, and other OCC departments, and communicates model risk analysis to stakeholders. Up to 40% telecommuting is permitted.

Requirements

• Master’s degree in finance, financial engineering, financial mathematics, or a related field.
• Two years of experience as a model risk management associate, quantitative risk management analyst, or in a related role.
• Work experience quantifying the impact of withdrawing excess collateral on Expected Shortfall values and collateral haircut approximation error in collateral haircut model validation using RStudio and SQuirrel SQL Client.
• Work experience evaluating return distributions and simulated Monte Carlo scenarios of option-based ETFs for option pricing model validation, and NBBO outliers of intraday prices for 0DTE options using RStudio and SQuirrel SQL Client.
• Work experience using RStudio and SQuirrel SQL Client to examine calculations underlying methodologies for margin, stress testing, and liquidity risk management.
• Work experience reviewing Vega liquidation charge calibration changes for cryptocurrency and constructing analyses related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts.

Responsibilities

• Analyze model risk across pricing, margin, clearing fund, stress testing, and liquidity models.
• Conduct independent reviews to assess model risk and associated remediations.
• Design and implement benchmark models and model-testing tools, including backtesting, using industry practices and innovations.
• Write and review validation documentation.
• Perform model performance testing, including portfolio back-testing using historical data.
• Review model and system implementations, focusing on requirement verification, coding, and testing quality.
• Collaborate with MRM staff, Financial Risk Oversight, Chief Risk Officer teams, data and technology staff, and other OCC departments.
• Communicate model risk analyses to CRO teams, including Financial Risk Oversight.
• Analyze risks associated with new products.
• Quantify the impact of withdrawing excess collateral on Expected Shortfall values and assess collateral haircut approximation error in collateral haircut model validation using RStudio and SQuirrel SQL Client.
• Evaluate option-based ETF return distributions and simulated Monte Carlo scenarios for option pricing model validation, and assess NBBO outliers in intraday prices for 0DTE options using RStudio and SQuirrel SQL Client.
• Use RStudio and SQuirrel SQL Client to examine calculations underlying margin, stress testing, and liquidity risk management methodologies.
• Review Vega liquidation charge calibration changes for cryptocurrency and analyze cryptocurrency, option-based ETFs, collateral, and portfolio concentration to evaluate Margin, Clearing Fund, Liquidity, Concentration Limits, and Collateral Haircuts.
• Conduct quality assurance testing on the model library, including constructing test cases, automating unit testing, and creating reference models as needed.
• Participate in model code reviews, model release testing, and production support, including margin impact analysis, baseline support, troubleshooting, and integration with production applications.
• Support new product launches and provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations.

Benefits

• Standard benefits package.
• Tuition reimbursement.
• Student loan repayment assistance.
• Technology stipend for remote work.
• Generous paid time off.
• Parental leave.
• 401(k) employer match.
• Medical, dental, and vision benefits.
• Employees may be eligible for a discretionary bonus; bonuses are not guaranteed.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior