OCC-posted 3 months ago
$123,500 - $219,100/Yr
Full-time • Mid Level
Franklin, TN
1,001-5,000 employees

This role is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. This role will collaborate with other quantitative analysts, business users, data & technology staff, and model validation colleagues 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 library and model testing tools using best industry practices and innovations
  • Implement new models into model library and enhance existing models
  • Write and review documentations (whitepapers) for the models, model prototypes and model implementation
  • Perform model performance testing, including portfolio back-testing using historical data
  • Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality
  • Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed
  • Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support
  • Support the launch of new products
  • 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
  • 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: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
  • Strong programming skills. Able to read and/or write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.) in a collaborative software development setting: Model development and prototyping requires advanced development skills in Python and database manipulation
  • 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
  • Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)
  • Proficiency in database technology, query languages (such as SQL), and efficient storage and serialization protocols
  • For model development and prototyping role: proficiency 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
  • Certifications such as FRM, CFA, etc.
  • PhD degree in a quantitative field
  • 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
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