Name of Employer:
The Options Clearing Corporation
Senior Quantitative Analyst
125 S. Franklin Street, Suite 1200, Chicago, IL 60606
Develop and implement pricing and risk analytic models and tools to support risk management. Develop high-performance numerical algorithms, conforming to the high reliability and availability standards of the organization. Review models and algorithms of other team members. Use Monte Carlo simulation and partial differential equations to devise and implement simulation models for option pricing and commodity futures. Use C++ and Python programming and stochastic analysis for model development and implementation of pricing and simulation models into production. Perform risk management by providing backtesting support for credit products and model documentation. Write quantitative, systems and review documentation, including executive summaries for business users and management.*This position qualifies for The Options Clearing Corporations Employee Referral Program.*
Education & Experience Required:
Masters degree in Finance, Economics or Applied Mathematics and two (2) years of experience in financial quantitative modeling and analysis.
Special Skills Required:
Must have experience with each of the following: 1. Use Monte Carlo simulation and partial differential equations to devise and implement simulation models for option pricing and commodity futures; 2. Use C++ and Python programming and stochastic analysis for model development and implementation of pricing and simulation models into production; and 3. Risk management experience in backtesting support for credit products and model documentation.
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OCC is an Equal Opportunity EmployerPosted 2 Days AgoFull timeREQ-1570
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.