Associate Principal, Model Risk Management, Validation

What You'll Do:

The Associate Principal is responsible for one or more functions within Model Risk Management (MRM) to analyze model risk across pricing, margin, clearing fund, stress testing and liquidity models: model performance monitoring; model benchmarking and testing; and model validation. The Associate Principal will collaborate with MRM staff and other teams reporting to the Chief Risk Officer, including, data & technology staff. The Associate Principal will conduct independent reviews to assess model risk and associated remediations.

OCC, as the worlds largest listed equity derivatives clearing organization, uses complex mathematical models for margin, stress testing and liquidity risk calculations requiring advanced knowledge of option risk and implied volatility models.

Responsibilities

To perform this job successfully, an individual must be able to perform each assigned essential duty satisfactorily:

• Review and assess model risk across pricing, margin risk and stress testing of financial products and derivatives.

• Design and implement benchmark models and model-testing tools, including backtesting, using best industry practices and innovations.

• Write and review validation documentation.

• Perform model performance testing, including portfolio back-testing using historical data.

• Review implementation of models and systems focusing on requirement verification.

• Collaborate with other team members in Model Risk Management and Financial Risk Oversight.

• Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC.

• Analyze risk of new products.

Supervisory Responsibilities

None

Qualifications & 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.)

• [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] Basic programing skills. Able to read and write code using a programming language (e.g., Java, C++, Python, R, etc.):

• Model validation requires ability to write independent code for testing

• [Required] Strong problem-solving skills: Be able to accurately identify a problem's source, severity, and impact to determine root cause and identify potential solutions

• [Required] Ability to challenge model methodologies, model assumptions, and review of validation approach.

• [Required] Advanced proficiency in writing technical and scientific documentation (e.g., white papers, user guides, etc.).

• [Required] Ability to work independently.

Technical Skills & Background

• [Preferred] Experience in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience

• [Required] Experience in a scripting language such as Python, R or MATLAB

• [Required] Experience with numerical libraries and/or scientific computing

• [Required] Experience with automated testing frameworks is preferred (e.g., Junit, TestNG, PyTest, etc.)

• [Required] Experience with code repository, build and deployment tools (e.g., Git, GitHub)

• [Required] Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel

Certifications

• [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

• 2+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing