Associate Principal, Market Risk Quant

in Cook - Chicago, IL

Job Description

The Options Clearing Corporation (Chicago, IL) seeks Associate Principal, Market Risk Quant w/Master’s deg. in finance, mathematical finance, risk management or related and three (3) years of experience as a quantitative financial analyst, risk analyst or related to work closely with OCC’s quantitative group and other financial risk teams to enhance current market risk monitoring. Perform Market Risk, Credit Risk and Portfolio Management for multiple asset class portfolios, including Daily Exposure, P&L Attribution, Scenario Analysis, Counterparty Risk, Value at Risk (VaR), Portfolio Stress Testing as well as Portfolio Sensitivity Analysis. Develop and execute statistical forecast risk models (like linear regression or auto regression) of financial products for use in risk management of portfolio assets, like S&P 500 Index, VIX and derivative products. Use Python or R and Bloomberg API to achieve automation in financial data analysis and update market monitoring dashboards for financial products for S&P 500, VIX and derivatives. Create database queries using SQL and design dashboards and visualizations using Tableau for Macro Economic variables (RGDP, Housing Price, CPI, and Fed Fund rate) that impact price volatility in assets classes like S&P 500 equities, VIX and commodities. Assist in responses to regulatory, audit and compliance inquiries, develop relationships with internal and external industry stakeholders, Clearing Members, and exchanges, and contribute to risk system design, problem resolutions and corporate initiatives. Provide expert knowledge in the development and testing of risk models for market risk. Form relationships with internal and external auditors, compliance professionals and regulators during exams, audits and reviews. Represent Financial Risk Management on corporate projects and new risk system development. In lieu of a Master’s degree plus three years of experience, will accept a Bachelor’s degree plus five years of experience in the same fields. Up to 40% telecommuting permitted. Must have work exp. w/each of the following: 1) Develop and execute statistical forecast risk models (like linear regression or auto regression) of financial products for use in risk management of portfolio assets, like S&P 500 Index, VIX and derivative products; 2) Use Python or R and Bloomberg API to achieve automation in financial data analysis and update market monitoring dashboards for financial products for S&P 500, VIX and derivatives; 3) Create database queries using SQL and design dashboards and visualizations using Tableau for Macro Economic variables (RGDP, Housing Price, CPI, and Fed Fund rate) that impact price volatility in assets classes like S&P 500 equities, VIX and commodities; 4) Perform Market Risk, Credit Risk and Portfolio Management for multiple asset class portfolios, including Daily Exposure, P&L Attribution, Scenario Analysis, Counterparty Risk, Value at Risk (VaR), Portfolio Stress Testing as well as Portfolio Sensitivity Analysis. Apply online at: www.theocc.com.