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Senior Associate – Model Risk Management
| Company | OCC |
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| Location | Chicago, IL, USA |
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| Salary | $87700 – $160200 |
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| Type | Full-Time |
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| Degrees | Bachelor’s |
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| Experience Level | Senior |
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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.)
- 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: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
- Basic programming skills. Able to read and write code using a programming language (e.g., Java, C++, Python, R, Scala, etc.)
- Ability to write independent code for testing
- Strong problem-solving skills: Be able to accurately identify a problem’s source, severity, and impact to determine root cause and identify potential solutions
- Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.)
- Ability to work independently.
Responsibilities
- 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 MRM and FRO.
- Communicate model risk analysis to CRO teams including Financial Risk Oversight (FRO) and collaborate with other departments at OCC.
- Analyse risk of new products
Preferred Qualifications
- Experience in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience
- Experience in a scripting language such as Python, R or MATLAB
- Experience with numerical libraries and/or scientific computing
- Experience with automated testing frameworks (e.g., Junit, TestNG, PyTest, etc.)
- Experience with code repository, build and deployment tools (e.g., Git, GitHub)
- Experience in office technology such as PowerPoint, Confluence, Latex, Word, and Excel
- FRM, CFA, etc.
