Director, Quantitative Risk Management

The OCC•Chicago, IL

1d•Hybrid

About The Position

The Options Clearing Corporation (OCC) is seeking a Director, Quantitative Risk Management to lead the development, implementation, and maintenance of critical risk models. This role involves enhancing existing models, supporting new product launches, and managing a team of financial engineers. The position requires close collaboration with various internal departments and external stakeholders to ensure the integrity and effectiveness of quantitative risk management practices. The Director will also be responsible for producing technical documentation, developing monitoring tools, and leading the implementation of analytics within the QRM Library.

Requirements

Master’s degree in finance, financial engineering, financial mathematics, or related field.
Six (6) years of experience as a quantitative risk management analyst, quantitative risk management principal, or related.
Work experience with developing methodology and Python prototype implementation for implied volatility simulation model enhancements to generate coherent implied volatility surfaces across maturities and strikes.
Work experience executing quantitative risk model enhancement initiatives addressing validation and regulatory findings, including interest rate risk add-ons and short-dated options modeling enhancements.
Work experience conducting quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL, including investigation of symbol- and strategy-level drivers, and identification of model limitations and potential enhancement opportunities.

Nice To Haves

Up to 40% telecommuting permitted.

Responsibilities

Direct the development, implementation, testing, and maintenance of models for margin, clearing fund, and stress testing.
Develop methodology and Python prototype implementation for implied volatility simulation model enhancements.
Execute quantitative risk model enhancement initiatives addressing validation and regulatory findings.
Conduct quantitative risk model performance monitoring and margin backtesting exceedance attribution analysis using Python and SQL.
Support new product launching initiatives by assessing model capabilities and coordinating enhancements.
Partner with risk managers, Information Technology, Model Validation, and Compliance.
Manage a team of financial engineers and model developers.
Oversee the analysis of new products and drive their implementation.
Research and present model alternatives based on academic literature, industry best practices, data analysis, and model prototyping.
Produce whitepapers and technical documentation.
Develop standards, procedures, and tools for model performance monitoring.
Lead and direct the implementation of model development tools in QRM and model analytics in the QRM Library.
Partner with IT and other departments to deliver QRM analytics to production, provide production support, and troubleshoot 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.