Assistant Director – Risk and Capital Analytics (ISDA SIMM)

Job Specification:
Job title: Assistant Director- Risk and Capital Analytics, ISDA SIMM
Reports to: Director, Risk and Capital Analytics
Location: New York
Salary: $100,000 – $120,000

The Risk and Capital Function works with members, regulators, policy makers and other standard setting bodies to develop an industry position and leverages in-house technology to provide analysis and advice on risk, margin and regulatory capital issues in the cleared and uncleared 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 uncleared derivatives market, including CCPs
  • Minimizing systemic risk and ensuring safe efficient markets in the cleared and uncleared markets

Quantitative analysis and technological efficiency are critical for ISDA both in terms of meeting contractual and business requirements, including the development of fact-based advocacy.

Within Risk and Capital, the Analytics function performs quantitative analysis of members and market data using in-house technology, which is instrumental to the maintenance and management of the ISDA SIMM, capital model Implementation, and the development of evidence-based Risk, Capital and margin advocacy. The function reinforces ISDA’s credibility with Regulators particularly on the ISDA SIMM model and is key to achieving substantive changes to proposed rulemakings. The function is critical to maintain the ISDA SIMM, the capital model benchmarking and promote ISDA’s fact-based advocacy. It gives ISDA access to actual members’ data allowing to build an invaluable database for regulatory risk analysis and reporting i.e. risk, capital and margin trends over time.

The role reports to a senior Risk and Capital Analytics colleague in London.

The Role
An active assistant director in the Risk & Capital Analytics team ensuring completion of its goals and objectives, particularly relating to SIMM. It primarily includes providing relevant SIMM quantitative analysis in a timely fashion and developing supporting technology based on ISDA Perun™, ensuring the success of the ISDA SIMM maintenance cycle.

Specific Responsibilities of the role:

  • Play an active role in ISDA’s in-house analytics capabilities to provide relevant analysis instrumental to the maintenance and management of the ISDA SIMM. This includes producing analysis supporting the ongoing SIMM maintenance cycle: recalibration and validation, backtesting and benchmarking, as well as implementation, optimization and maintenance of the necessary systems to conduct the following key steps of the SIMM maintenance cycle:

1. Implementation of SIMM enhancements into the proprietary ISDA SIMM Models

2. Collection and cleansing of the required data from participating banks – identification of data issues, suggestion of data quality improvements, coordination of resubmissions

3. Re-calibration of the SIMM parameters reflecting above SIMM enhancements as well as updated market data:

  • Risk weights
  • Correlations
  • Historical Volatility Ratios
  • Concentration Thresholds

4. Comparison of independently calibrated SIMM parameters with above re-calibrated parameters, analysis of discrepancies and suggestions for reconciliation

5. Creation of an updated SIMM unit test and assessment of results, identification of test failures and interactions with participating banks to explain/solve issues

6. Perform, optimize and automate SIMM backtesting which compares SIMM results with P&L vectors over 14y history of banks’ data, and perform the SIMM benchmarking. Interact with participating banks to explain/solve issues

  • Interact with other team members and ISDA colleagues as relevant to optimize the quality and efficiency of the Analytics function
  • Ensure ongoing maintenance of Perun for SIMM to ensure its fitness, and review of the safety and confidentiality of collected data, processes, and analysis results
  • Respect and promote the ISDA corporate values


Required Skills and Knowledge

  • Extensive experience in derivatives risk management, derivatives markets and global regulatory capital frameworks. Knowledge of bank’s margining frameworks.
  • Excellent analytical and quantitative skills
  • Advanced coding skills in Python, Excel VBA.
  • Excellent communication skills.
  • A self-starter who is strongly motivated, proactive, exercises effective judgment and able to develop the Analytics function’s as well as own capabilities.

Desired Experience and Education

  • Relevant experience of the ISDA SIMM is highly desirable
  • Relevant experience in comparably complex technical roles, proven ability to coordinate complex quantitative analyses and present results to diverse stakeholders
  • Relevant experience in derivatives risk management and financial regulation. Experience in derivatives trading, risk or structuring at a global bank is highly desirable.
  • Qualifications in quantitative finance are required to at least Masters level, or the equivalent professional qualification.

About ISDA
Since 1985, ISDA has worked to make the global derivatives markets safer and more efficient. Today, ISDA has over 1,000 member institutions from 78 countries. These members comprise a broad range of derivatives market participants, including corporations, investment managers, government and supranational entities, insurance companies, energy and commodities firms, and international and regional banks. In addition to market participants, members also include key components of the derivatives market infrastructure, such as exchanges, intermediaries, clearing houses and repositories, as well as law firms, accounting firms and other service providers. Information about ISDA and its activities is available on the Association’s website: Follow us on Twitter, LinkedIn, Facebook and YouTube.

ISDA offers a great work environment and excellent benefits.

  • Retirement – with employer match
  • Life, disability, and accident insurance
  • Medical, dental and vision coverage offered at little to no cost to employees and dependents
  • Generous paid time off
  • Maternity and paternity leave
  • Pre and post-tax commuter spending accounts
  • Education – ISDA offers a yearly training calendar across all offices
  • Flexible working policy
  • Company and office social events

To apply, please click here