Associate Principal, Pricing & Margins

To be considered for this position, applications and resumes are accepted only through our careers site by directly applying to the posted job. We do not accept unsolicited resumes or sales solicitations from staffing agencies. Any OCC employee wishing to submit a referral must do so through their Workday account. Any resume submitted outside of an active job posting will not be considered for employment.What You'll Do:This role supports the performance of a broad array of Risk Management functions.  Responsibilities include: all activities supporting performed to ensure the integrity of all Price Data (used for Risk Management and Core Clearing processes) and all activities performed to support SEC and CFTC regulated customer margin / haircut programs (including Risk Based Haircuts/Customer Portfolio Margin (“RBH/CPM”), and OFRA/SPAN).  This role will also support activities performed to establish and periodically review and evaluate the continued adequacy of OCC’s collateral and currency haircuts; and activities performed to establish, monitor, and evaluate certain parameters used in risk modeling and determination of Clearing Member margin requirements.Primary Duties and Responsibilities:To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.Perform analysis of market and theoretical valuation of all products cleared by OCC, eligible to be deposited as collateral, or that are part of an OCC supported process.  Perform reconciliation of modeled output and update where appropriate: analysis is performed using proprietary OCC tools/applications which assist in identifying and correcting instances of price arbitrage and other pricing irregularities; products include equity, index, government security, and derivative prices (i.e., options, futures, and futures options) as well as all  derivative price inputs (e.g., dividend, interest rates, exchange rates); provide final approval and sign off for transmission to downstream processes (e.g., model calibration, theoretical computations, margin calculations). Perform evaluation of market data vendors and manage market data entitlements.  Monitor intraday financial market performance and ensure that pricing and market data are accurately reflected.  Correct issues as discovered or escalate to management for direction, while observing standards for accuracy and timeliness. Support and administer SEC and CFTC regulated programs related to customer margin / haircut calculations: evaluate products to ensure eligibility standards for inclusion are met and determine appropriate treatment (e.g., stress levels, allowed offsets) consistent with Regulatory requirements; determine appropriate risk parameters, maintain, and develop parameter files for RBH/CPM and SPAN. Perform daily evaluation of rate performance and periodic recalibration of related parameters. Answer questions from and support Clearing Members, ...