Margin Methodology – Risk and Capital Analytics Lead

Company Name: Robert Walters

Job Contact: Apply on company website

Contact Email: N/A

Job Location: New York, NY

Date: 10/11/2017

Job Description










The Risk and Capital Function works with members, regulators, policy makers and other groups to develop an industry position and produce technical analysis and advice on risk, margin and regulatory capital issues in the cleared and un-cleared derivatives market with a view to: * Ensuring prudent risk sensitive regulation and capital charges are applied uniformly and consistently to various financial risks and across different markets and jurisdictions * Facilitating the adoption of best and effective risk management practices by all participants in the cleared and un-cleared derivatives market, including CCPs * Minimizing systemic risk and ensuring safe efficient markets in the cleared and un-cleared markets Quantitative analysis is critical for both in terms of meeting contractual and business requirements, including its fact based advocacy.


The Role

The role involves being an active member of the Analytics team and ensure the Analytics function fulfils its goals and objectives. It includes providing relevant analysis in a timely fashion, primarily to ensure successful SIMM maintenance, including ongoing backtesting and calibration and promote Risk and Capital fact based advocacy, and enhancing the function’s efficiency. It also includes interacting with members and the regulatory community to discuss and refine methodologies and results, as well as interacting with other trade associations where relevant. The successful candidate will also help broaden the function’s applications to additional advocacy areas.


Specific Responsibilities Of The Role

  • Play an active role for in-house analytics capabilities to provide relevant analysis instrumental to the maintenance and management of the SIMM. This includes analysis supporting the ongoing SIMM backtesting and benchmarking, recalibration and validation

  • Conduct in-house analysis to support evidence based Risk and Capital advocacy, helping to reinforce credibility with Regulators and achieving substantive change to proposed rulemakings. More particularly:

    • Ensure the function performs ongoing data collection, cleansing and analysis based on Basel Monitoring Templates to assess and review the impact of ongoing regulatory developments.

    • Propose and coordinate scenario analysis and testing to support proposed improvements to capital and margin regulations, and variability analysis to drive consistent and efficient implementation of standardized approaches and reduce variability in internal model approaches



  • Actively interact with other team members and colleagues, coordinate responses to member or licensee queries on the SIMM model and other relevant initiatives, and optimize the quality and efficiency of the Analytics function

  • Ensure ongoing review of the safety and confidentiality of collected data, processes, and analysis results

  • Engage with membership to ensure effective data sharing processes, with regulators to discuss results and refine methodologies, and coordinate with other trade associations where relevant.

  • Coordinate the development of analysis and interpretation of the data and the drafting of reports, position papers and white papers on key findings

  • Participate to conferences to educate and raise awareness on key issues


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