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VP Quantitative Risk Management Chicago - 125 S Franklin/en-US/careers/job/Chicago---125-S-Franklin/VP-Quantitative-Risk-Management_REQ-1537-3/apply Summary:
Reporting to the SVP in Quantitative Risk Management (QRM), the individual will be leading the effort in developing/enhancing risk modeling framework for margin and stress testing at OCC.
She/he will be leading the model development process that includes developing model theory/assumptions, performing tests, establishing developmental evidence, performing coding in analytical library, writing model documentation, providing support in model validation, reviewing and signing off on system implementation. Furthermore, she/he will work closely with the business and development teams to remediate gaps and improvements identified by internal control teams or external regulators.
Essential Duties and Responsibilities:
To perform this job successfully, an individual must be able to perform each essential duty satisfactorily.
Lead the development of quantitative risk models and methodologies.
Critically review the underlying theory, assumptions, limitations, implementation and performance of the methodology and models.
Partner with the Model Validation, Model Governance, Compliance and Audit functions to address all exam findings within agreed upon deadline and to provide model transparency and enhancing analytics capability
Defend rationale for quantitative decisions related to various metrics, such as distributions, historical time periods, simulations, and volatility moves.
Provide intellectual and technical leadership to QRM team
Communicate complex technical material at appropriate technical or non-technical levels so that it may be understood by a wide range of constituents
Lead communications with regulatory examiners and external parties relating to the foundation of OCCs models and risk analytics.
Write, review and signoff model documents, and provide technical supports to staff members, internal control teams and regulatory examiners.
Partner with IT teams to develop plans to remediate the model gaps identified by internal/external teams.
Play a key role in re-shaping current STANS Expected Shortfall margin model and TIMS margin model to handle innovative new products, enhancing the algorithms to allow for more robust calculations, and ensuring proper margin coverage of various product and portfolios.
Manage/mentor team of quants
Manage/mentor a team of quants, whose typically have a PhD or Masters level degree in a quantitative subject.
Lead a quant team to develop risk models and methodologies; partner with Business and Legal to formulate policies and procedures
Help build to strong analytical skill set of team members
Writes employee performance appraisals
Promote staffs personal and career development
The requirements listed are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.
Extensive experiences in development of pricing models of equity derivative products including both vanilla options and exotic options (e.g., American, Binary, Asian, and Cliquets).
Proficient experiences in the constructions of implied volatility surfaces.
Excellent knowledge in numerical techniques such as Monte Carlos simulation, binomial trees, finite difference and numerical PDEs.
Strong knowledge of the option pricing theory and market practices.
Significant experience with developing Risk Management models for derivative instruments (e.g., Historical VaR, Monte Carlo simulation, TIMS and SPAN);
Must be able to work in a team environment and be able to manage/mentor a large team of junior/senior level quants.
Must possess strong oral and written communication skills with both business and quantitative departments.
Excellent oral and written communication skills
Proven leadership and supervisory abilities
Strong problem-solving skills
Broad knowledge across: strong stochastic modeling techniques (pricing and simulation), financial econometrics, derivative instruments across asset classes, numerical methods, mathematical programming, risk management, stress testing, with specialist expertise in several of these areas.
Programming skills in Java, C++, R, Python, MATLAB or VB.
Education and/or Experience:
Masters degree or higher in Finance, Economics or a quantitative field such as physics possessing strong quantitative, analytical and problem-solving skills with 7+ years of practical experience in financial risk modeling/analytics and stress testing methodology.
4+ years of experience in leading/mentoring junior quants in quantitative risk modeling/analytics area.
Certificates or Licenses:
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Step 3 If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.
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OCC is an Equal Opportunity Employer
Posted 2 Days AgoFull timeREQ-1537
OCC is the world's largest equity derivatives clearing organization and the foundation for secure markets. Founded in 1973, OCC operates under the jurisdiction of both the U.S. Securities and Exchange Commission (SEC) and the U.S. Commodity Futures Trading Commission (CFTC) as a Derivatives Clearing Organization. Named 2016 Clearinghouse of the Year - The Americas by FOW Magazine and 2016 Clearinghouse of the Year by Global Investor/ISF Magazine, OCC now provides central counterparty (CCP) clearing and settlement services to 20 exchanges and trading platforms for options, financial futures, security futures, and securities lending transactions. More information about OCC is available at www.theocc.com.