John Dodson

About John Dodson

Quantitative finance professional with thirty years experience. Expertise in the valuation and risk management of derivative portfolios. Proprietary research and development contributions in market and credit risk. Affiliation with well-regarded master\'s degree program. Fluency with current information technologies, computational methods, and statistical techniques. Skilled at assembling and managing teams of quantitative professionals. Degrees from top-tier schools. United States / United Kingdom citizenships. B2 French, A2 Portuguese, B1 German.

Experience

1. Executive Principal, Quantitative Risk Management

   The Options Clearing Corporation (OCC)

   Mar 2009 — Present · Chicago, IL, US

   Responsible for developing and maintaining the quantitative models in use at a systemically important financial utility and the principle equity derivatives central clearing counter-party in the U.S.• Develop, maintain, and document analytic models for OCC\'s member portfolio valuations, margins assessments, and guarantee fund contributions. OCC margins are based on a sophisticated simulation methodology that has since been emulated by Eurex and ICE and is currently being evaluated by the CME as a potential replacement for their current methodology. OCC\'s new valuation methodology is the industry\'s first large-scale implementation of an implied risk-neutral density model for (American-style) security options.• Represent OCC\'s quantitative risk management in examinations with the Federal Reserve and the Securities and Exchange Commission following OCC\'s designation under the Dodd-Frank legislation as a systemically important market utility.• Responsible for significant methodology enhancements to support clearing members, including a revision of the treatment for collateral in margins and expiring products resulting in a substantial reduction in margin requirements during expiration week and new collateral efficiency opportunities permanently.• Direct quantitative research and development to support new product initiatives, including Asian-style index options, implied volatility and realized variance products, equity outperformance options, dividend products, and energy derivatives.• Managed and direct the day-to-day activities of approximately ten quantitative analysts and developers.• Negotiated and manage million-dollar consulting and contracting agreements.• Led a major re-implementation of the analytic models as part of a multi-year technical integration project.

Education

• Carnegie Mellon University - Tepper School of Business

  Master's Degree

  1995 — 1996

• University of Minnesota

  UMTYMP

  1985 — 1988

• Stanford University

  Bachelor's Degree

  1988 — 1992

• The Wharton School

  Securities Industry Institute