Direct, lead and review development and implementation of models for pricing, margin risk and stress testing of financial products and derivatives
Oversee analysis of new products and drive their implementation at OCC
Research and present model alternatives based on the academic literature, industry best practices, data analysis and model prototyping
Produce high quality whitepapers and technical documentation following QRM’s procedures and templates
Develop standards, procedures and tools for model performance monitoring and communicate results to peers and leadership
Lead and direct implementation of the model development tools in QRM supporting model analysis and backtesting
Lead and direct implementation of the model analytics in the QRM Library
Partner with IT and other departments delivering QRM analytics to production
Provide production support, participate in troubleshooting and analysis of model, system and data issues
Lead remediation of Model Validation or regulatory findings
Prepare and present materials supporting management and regulatory inquiries
Provide intellectual leadership promoting innovation and learning

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 programming 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

Applicant Tracking System Keywords

Tip: use these terms in your resume and cover letter to boost ATS matches.

Hard skills

financial mathematicsderivatives pricing modelsstochastic calculusstatisticsprobability theoryadvanced linear algebradata analysismachine learningnumerical methodsMonte Carlo simulation

Soft skills

problem-solvingintellectual leadershipinnovationcollaborationcommunication