Director, Quantitative Risk Management

OCC • Franklin, TN

2d • Hybrid

About The Position

What You'll Do: This role directs the development, implementation, testing and maintenance of models used for margin, clearing fund and stress testing. The range of responsibilities, varies depending on his/her focus within QRM, that includes research and development of significant model features, leading prototype development and testing, designing tools for model performance monitoring, managing or providing technical leadership for model prototypes, implementing and supporting integration of model code library into OCC risk systems. This role will work closely with risk managers in Financial Risk Management and partners in other areas, including Information Technology, Model Validation, and Compliance. Primary Duties and Responsibilities: To perform this job successfully, an individual must be able to perform each primary duty satisfactorily. Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives |Oversee analysis of new products and drive their implementation at OCC Research and present model alternatives based on the academic literature, industry best practices, data analysis and model prototyping Produce high quality whitepapers and technical documentation following QRM’s procedures and templates Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting Lead and direct implementation of the model analytics in the QRM Library Partner with IT and other departments delivering QRM analytics to production Provide production support, participate in troubleshooting and analysis of model, system and data issues Lead remediation of Model Validation or regulatory findings Prepare and present materials supporting management and regulatory inquiries Provide intellectual leadership promoting innovation and learning Supervisory Responsibilities: Manage a team of finacial engineers/model developers 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. [Required] Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra) [Required] Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques [Required] Numerical methods and optimization; Monte Carlo simulation and finite difference techniques [Required] Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis) [Required] Financial products knowledge: seasoned level in understanding of markets and financial derivatives in equities, interest rate, and commodity products [Required] Seasoned level in programing skills. Advanced proficiency in using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting. Model development and prototyping requires advanced development skills in Python and data mining [Required] Strong problem-solving skills: be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources [Required] Ability to challenge model methodologies, model assumptions, and validation approach [Required] Seasoned level in technical and scientific documentation (e.g., whitepapers, user guides, etc.) Technical Skills: [Required] Expert in database technology, query languages (such as SQL), and efficient storage and serialization protocols [Required] For model development and prototyping role: expert in a scripting language such as Python, R or MATLAB [Required] Experience with numerical libraries and/or scientific computing including numerical optimizers (e.g. NAG, MATLAB) [Required] Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.) [Required] Experience with CI/CD and DevOps tools (e.g., Git, GitHub and various profiling and telemetry tools) is required for model implementation and application development. [Required] Experience with high performance computing, distributed computation engines and cloud computing [Required] Advanced proficiency in office technology such as PowerPoint, Confluence, Latex, Word, and Excel Education and/or Experience: [Required] 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 [Required] 10+ years of experience of quantitative research and/or model implementation in finance [Required] 5+ years of experience in people management Certificates or Licenses: [Preferred] FRM, CFA, etc. About Us The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. Founded in 1973, OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. As a Systemically Important Financial Market Utility (SIFMU), OCC operates under the jurisdiction of the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity Futures Trading Commission (CFTC), and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty (CCP) clearing and settlement services to 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com. Benefits A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include: A hybrid work environment, up to 2 days per week of remote work Tuition Reimbursement to support your continued education Student Loan Repayment Assistance Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely Generous PTO and Parental leave 401k Employer Match Competitive health benefits including medical, dental and vision Visit https://www.theocc.com/careers/thriving-together for more information. Compensation The salary range listed for any given position is exclusive of fringe benefits and potential bonuses. If hired at OCC, your final base salary compensation will be determined by factors such as skills, experience and/or education. In addition, we believe in the importance of pay equity and consider internal equity of our current team members as part of any final offer. We typically do not hire at the maximum of the range in order to allow for future and continued salary growth. We also offer a substantial benefits package as noted on www.theocc.com/careers All employees may be eligible for a discretionary bonus. Discretionary bonuses are based on various factors, including, but not limited to, company and individual performance and are not guaranteed. Salary Range $177,300.00 - $288,400.00 Incentive Range 23% to 30% This position is eligible for an annual discretionary incentive compensation award, for which the target range is listed above (see Incentive Range). The amount of such award, if any, will be based on various factors, including without limitation, both individual and company performance. 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. For more information about OCC, please click here. OCC is an Equal Opportunity Employer A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include: A hybrid work environment, up to 2 days per week of remote work Tuition Reimbursement to support your continued education Student Loan Repayment Assistance Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely Generous PTO and Parental leave Competitive health benefits including medical, dental and vision OCC is an Equal Opportunity Employer OCC is an equal opportunity employer that is committed to diversity, equity, and inclusion. OCC provides equal employment opportunities to all employees and applicants for employment without regard to race, color, national origin, citizenship status, sex, sexual orientation, gender identity or expression, disability, age, marital status, religion, veteran status, or any other characteristics protected by applicable federal, state, or local laws. Numerous studies have shown that people from certain groups are less likely than others to apply to jobs if they believe they do not meet 100% of the requirements. We encourage everyone to review our open positions and apply if you think your experience may be a match, even if you do not meet all of the qualifications. Your perspective may be an element we need to continue building innovative solutions to support the markets and market participants we serve. If you need a disability related accommodation for any part of the application process, please email [email protected]. The Options Clearing Corporation (OCC) is the world's largest equity derivatives clearing organization. Founded in 1973, OCC is dedicated to promoting stability and market integrity by delivering clearing and settlement services for options, futures and securities lending transactions. As a Systemically Important Financial Market Utility (SIFMU), OCC operates under the jurisdiction of the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity Futures Trading Commission (CFTC), and the Board of Governors of the Federal Reserve System. OCC has more than 100 clearing members and provides central counterparty (CCP) clearing and settlement services to 19 exchanges and trading platforms. More information about OCC is available at www.theocc.com. A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness. Some of these components include: A hybrid work environment, up to 2 days per week of remote work Tuition Reimbursement to support your continued education Student Loan Repayment Assistance Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely Generous PTO and Parental leave 401k Employer Match Competitive health benefits including medical, dental and vision Visit https://www.theocc.com/careers/thriving-together for more information. The salary range listed for any given position is exclusive of fringe benefits and potential bonuses. If hired at OCC, your final base salary compensation will be determined by factors such as skills, experience and/or education. In addition, we believe in the importance of pay equity and consider internal equity of our current team members as part of any final offer. We typically do not hire at the maximum of the range in order to allow for future and continued salary growth. We also offer a substantial benefits package as noted on www.theocc.com/careers All employees may be eligible for a discretionary bonus. Discretionary bonuses are based on various factors, including, but not limited to, company and individual performance and are not guaranteed.

Requirements

• Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• Econometrics, data analysis (e.g., 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: seasoned level in understanding of markets and financial derivatives in equities, interest rate, and commodity products
• Seasoned level in programing skills. Advanced proficiency in using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting. Model development and prototyping requires advanced development skills in Python and data mining
• Strong problem-solving skills: be able to accurately identify a problem's source, severity, and impact to determine possible solutions and needed resources
• Ability to challenge model methodologies, model assumptions, and validation approach
• Seasoned level in technical and scientific documentation (e.g., whitepapers, user guides, etc.)
• Expert in database technology, query languages (such as SQL), and efficient storage and serialization protocols
• For model development and prototyping role: expert in a scripting language such as Python, R or MATLAB
• Experience with numerical libraries and/or scientific computing including numerical optimizers (e.g. NAG, MATLAB)
• Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.)
• Experience with CI/CD and DevOps tools (e.g., Git, GitHub and various profiling and telemetry tools) is required for model implementation and application development.
• Experience with high performance computing, distributed computation engines and cloud computing
• Advanced proficiency in office technology such as PowerPoint, Confluence, Latex, Word, and Excel
• Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering
• 10+ years of experience of quantitative research and/or model implementation in finance
• 5+ years of experience in people management

Nice To Haves

• PhD degree in one of the above fields
• FRM, CFA, etc.

Responsibilities

• Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives
• Oversee analysis of new products and drive their implementation at OCC Research and present model alternatives based on the academic literature, industry best practices, data analysis and model prototyping
• Produce high quality whitepapers and technical documentation following QRM’s procedures and templates
• Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership
• Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting
• Lead and direct implementation of the model analytics in the QRM Library
• Partner with IT and other departments delivering QRM analytics to production
• Provide production support, participate in troubleshooting and analysis of model, system and data issues
• Lead remediation of Model Validation or regulatory findings
• Prepare and present materials supporting management and regulatory inquiries
• Provide intellectual leadership promoting innovation and learning
• Manage a team of finacial engineers/model developers

Benefits

• A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness.
• A hybrid work environment, up to 2 days per week of remote work
• Tuition Reimbursement to support your continued education
• Student Loan Repayment Assistance
• Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely
• Generous PTO and Parental leave
• 401k Employer Match
• Competitive health benefits including medical, dental and vision

What This Job Offers

• Job Type: Full-time
• Career Level: Director
• Number of Employees: 1,001-5,000 employees