Lead Associate Principal, Quantitative Risk Management

The OCC•Chicago, IL

2d•Hybrid

About The Position

The Lead Associate Principal, Quantitative Risk Management is responsible for one or more Quantitative Risk Management functions, developing and maintaining risk models for margin, clearing fund, and stress testing. The role encompasses model analytics and performance monitoring, model prototyping and testing, and model implementation. The position collaborates with quantitative analysts, business users, data and technology staff, model validation colleagues, developers, risk managers, and cross-functional departments to build, enhance, test, document, and support quantitative models and applications. The role develops pricing, margin-risking, and stress-testing models for financial products and derivatives; maintains model prototypes, libraries, testing tools, documentation, and prototype code; and performs portfolio back-testing with historical data. It reviews model implementation and algorithms for requirements, code, and testing quality, and supports quality assurance, model releases, production integration, troubleshooting, and new-product launches. The work includes equity derivatives pricing and volatility models, CVA/CCR and volatility model testing frameworks, model validation reports for equity-linked derivatives, and quantitative finance and risk analytics applications. Up to 40% telecommuting is permitted. OCC describes its work environment as hybrid, with up to two days per week of remote work. The salary range is $179,500–$230,200, exclusive of fringe benefits and potential bonuses.

Requirements

Master’s degree in finance, financial engineering, mathematical finance, or a related field.
Five years of experience as a quantitative financial analyst, model risk management VP/associate, or in a related role.
Work experience developing and validating equity derivatives pricing and volatility models for exotic products and index strategies using Python, C++, and SQL.
Work experience implementing benchmarking and model testing frameworks for CVA/CCR and volatility models using Python and SQL within Basel III and SR 11-7 governance environments.
Work experience developing model validation reports for equity-linked derivatives supporting regulatory capital frameworks, such as vanilla and exotic options and equity futures.
Work experience developing quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models, using Scala, MATLAB, and Python.

Responsibilities

Develop and maintain risk models for margin, clearing fund, and stress testing, including model analytics, performance monitoring, prototyping, testing, and implementation.
Collaborate with quantitative analysts, business users, data and technology staff, model validation colleagues, and developers to implement new models and enhance existing models.
Develop models for pricing, margin risking, and stress testing of financial products and derivatives.
Design, implement, and maintain model prototypes, model libraries, and model testing tools using industry practices and innovations.
Develop and maintain model documentation, including white papers and prototype code; write and review documentation for models, prototypes, and implementations.
Perform model performance testing, including portfolio back-testing using historical data.
Review model and algorithm implementations for requirements verification, coding quality, and testing quality.
Conduct quality assurance testing on the model library, including reviewing production code and test cases, automating model unit testing, and creating reference models when needed.
Develop and validate equity derivatives pricing and volatility models for exotic products and index strategies.
Implement benchmarking and model testing frameworks for CVA/CCR and volatility models within Basel III and SR 11-7 governance environments.
Develop model validation reports for equity-linked derivatives supporting regulatory capital frameworks, including vanilla and exotic options and equity futures.
Develop quantitative finance and risk analytics applications, including CVaR decomposition and interest rate risk models.
Participate in model code reviews and model release testing, including margin impact analysis, baseline support, and troubleshooting during model library integration with production applications.
Provide production support and support the launch of new products, developing new models or enhancing existing models when needed.
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.

Benefits

Standard benefits package.
Highly collaborative and supportive environment intended to encourage work-life balance and employee wellness.
Hybrid work environment, with up to two days per week of remote work.
Tuition reimbursement.
Student loan repayment assistance.
Technology stipend for connecting to the network while working remotely.
Generous paid time off and parental leave.
401(k) employer match.
Competitive medical, dental, and vision benefits.
Employees may be eligible for a discretionary bonus; bonuses are not guaranteed.
Employee Referral Program eligibility.