The Options Clearing Corporation, Chicago, IL
Econometrician

Leading global clearing organization seeks individual to join its quantitative team. The position reports to the Head of Quantitative Risk Management. The team is responsible for the development of the Firm's methodologies for setting margin requirements and analyzing other risk issues. The empirical foundations of these methodologies depend on sophisticated financial econometrics.

JOB QUALIFICATIONS: The successful candidate will be the key statistics and econometrics professional in the team, and contribute to other areas of the team's work. The ideal candidate would likely have - or be about to acquire - a PhD in financial econometrics. The candidate may however hold a PhD or very strong Master's degree in another highly quantitative discipline; in such a case, the nominal subject matter is less important than evidence of extensive rigorous mathematical training, with a strong statistics emphasis. Prior industry experience is not required.

JOB DESCRIPTION: Individual will undertake a wide variety of research projects relating to the univariate or multivariate price behavior of financial derivatives and their underlying variables.

Ongoing Activities:
- Design and execute research projects.
- Document research methodologies and results to high academic standards. In some cases, the candidate may be permitted, or even encouraged, to present the reports externally and to submit the research reports for external publication.
- Keep abreast of relevant academic and practitioner research, and network with appropriate external researchers.
- Participate in the incorporation of research findings in the risk analytics software of the Firm. On occasions, the candidate is likely to have to pursue a number of projects concurrently.

Knowledge and Skill characteristics:
Statistics and econometrics
- Univariate and multivariate statistics
- 'Fat tailed distributions'
- Copulae
- Time series analysis, including models of heteroskedasticity (e.g.: GARCH)
- Kalman and non-linear filtering

Software:
- Experience of one or more statistical and econometric packages
- Ability to program in one or more statistical languages (e.g.: R)
- Wider programming experience would be desirable

Quantitative Finance:
- Financial risk measures (e.g. VaR, Expected Shortfall)
- Options pricing theory
- Numerical solutions in finance (e.g.: Monte Carlo simulation; finite difference)
- Term structure of interest rates

Communication:
- Excellent written communication and presentation skills
- The ability to communicate specialist statistical/econometric ideas to professionals of differing areas of expertise.

Education and prior work experience:
- The ideal candidate would likely have - or be about to acquire - a PhD in financial econometrics. The candidate may however hold a PhD or very strong Master's degree in another highly quantitative discipline; in such a case, the nominal subject matter is less important than evidence of extensive rigorous mathematical training, with a strong statistics emphasis
- Prior industry experience is not required

APPLICATION PROCEDURE: To learn more about OCC, please visit our website at http://www.theocc.com Please apply for this position through our career center at: http://www.theocc.com/about/career-center/career-opportunities.jsp



Posted 9/9/12