Quantitative Risk Management AnalystThis 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.ResponsibilitiesDevelop models for pricing, margin risking and stress testing of financial products and derivativesDesign, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovationsImplement new models into model library and enhance existing modelsWrite and review documentations (whitepapers) for the models, model prototypes and model implementationPerform model performance testing, including portfolio back-testing using historical dataReview implementation of models and algorithms focusing on requirement verification, coding, and testing qualityConduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if neededParticipate 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 supportSupport the launch of new productsProvide quantitative analysis and support to risk managers on pricing, margin, and risk calculationsCommunicate model analysis to professionals across OCC and collaborate with cross-functional departmentsSupervisory ResponsibilitiesNoneQualifications & Experience(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: good understanding of markets and financial derivatives in equities, interest rate, and commodity products(Required) 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(Required) Model implementation requires advanced Java programming ability and a demonstrated ability in developing and maintaining enterprise level software(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) Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)(Preferred) Experience in Agile/SCRUM frameworkTechnical Skills & Background(Required) Proficiency in database technology and query languages (such as SQL)(Preferred) Non-relational DB and other Big Data, cloud-based computing experience(Required) Proficiency in Java is required for model implementation (Java 8 or later)(Required) Experience in a scripting language such as Python, R or MATLAB(Required) Experience with numerical libraries and/or scientific computing |(Preferred) Experience with numerical optimizers using NAG, Matlab or similar| (Required) Experience with automated quality assurance frameworks is required (e.g., Junit, TestNG, Selenium, etc.) for model testing(Required) Experience with code repository, build and deployment tools (e.g., Git, GitHub, Jenkins)(Required) Software design: effective application of design patterns, expertise in object-oriented design(Preferred) Experience with high performance computing(Required) Experience in office technology such as PowerPoint, Confluence, Latex, Word, and ExcelCertifications(Preferred) FRM, CFA, etc.Education & Training(Required) Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering(Preferred) PhD(Required) 5-7 years of experience in quantitative areas in finance and/or development experience in model implementation and testing