This role directs the development, implementation, testing and maintenance of models used for margin, clearing fund and stress testing. The role requires 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.
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.)
Benefits
- 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
