Associate Principal, Model Risk Management, Validation

The OCC•Chicago, IL

21h•Hybrid

About The Position

The Associate Principal, Model Risk Management, Validation is responsible for one or more Model Risk Management (MRM) functions, analyzing model risk across pricing, margin, clearing fund, stress testing, and liquidity models. The role conducts independent model reviews, assesses remediations, designs and implements benchmark models and model-testing tools, and writes and reviews validation documentation. It also performs model performance testing, including portfolio back-testing with historical data, and reviews model and system implementations for requirements verification, coding, and testing quality. The position uses RStudio and SQuirrel SQL Client to analyze collateral, option pricing, margin, stress testing, and liquidity methodologies. It reviews cryptocurrency Vega liquidation charge calibration changes and evaluates the performance of margin, clearing fund, liquidity, concentration limits, and collateral haircuts. Responsibilities also include model-library quality assurance, model code and release reviews, production support, new-product analysis and launch support, and communicating quantitative model analysis to risk managers and cross-functional teams. 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 in 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 requirements verification, coding, and testing quality.
Collaborate with MRM staff, teams reporting to the Chief Risk Officer, data and technology staff, Financial Risk Oversight, and other OCC departments.
Communicate model risk analysis to CRO teams, including Financial Risk Oversight.
Analyze risks of new products and support their launch.
Use RStudio and SQuirrel SQL Client to quantify the impact of withdrawing excess collateral on Expected Shortfall values and assess collateral haircut approximation error in collateral haircut model validation.
Use RStudio and SQuirrel SQL Client to evaluate return distributions and simulated Monte Carlo scenarios of option-based ETFs, and NBBO outliers of intraday prices for 0DTE options, in option pricing model validation.
Examine calculations underpinning methodologies for margin, stress testing, and liquidity risk management using RStudio and SQuirrel SQL Client.
Review Vega liquidation charge calibration changes for cryptocurrency and construct analyses related to 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.
Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations.