Senior Associate- Risk and Capital Analytics, ISDA SIMM
December 16, 2021
Job title – Senior Associate- Risk and Capital Analytics, ISDA SIMM
Reports to – Head of Analytics, Risk and Capital
Location – New York
The Risk and Capital Function works with members, regulators, policy makers and other standard setting bodies to develop an industry position and produce technical 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
Minimising systemic risk and ensuring safe efficient markets in the cleared and uncleared markets
Quantitative analysis is critical for ISDA both in terms of meeting contractual and business requirements, including its fact based advocacy.
Within Risk and Capital, the Analytics function performs quantitative analysis based on comprehensive members and market data, which is instrumental to the maintenance and management of the ISDA SIMM, capital model implementation and benchmarking, and the development of evidence-based Risk, Capital and margin advocacy. The function reinforces ISDA’s credibility with Regulators and is key to achieving substantive changes to proposed rulemakings. The function 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 function is critical to maintain the ISDA SIMM, capital model implementation and benchmarking and promote ISDA’s fact-based advocacy.
The role reports to the Head of Analytics.
The role involves being an active member of the Risk & Capital Analytics team and ensure it fulfils its goals and objectives. It includes providing relevant analysis in a timely fashion, primarily to ensure successful SIMM maintenance.
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 analysis supporting the ongoing SIMM maintenance cycle: recalibration and validation, backtesting and benchmarking, as well as implementation, optimization and maintenance of the suite of Python tools and systems to conduct the following key steps of the SIMM maintenance cycle:
Implementation of SIMM enhancements into the proprietary ISDA SIMM Models
Collection and preparation of the required data from participating banks and vendors – identification of data issues, suggestion of data quality improvements, coordination of resubmissions
Re-calibration of the SIMM parameters reflecting SIMM enhancements as well as updated market data: Risk weights, Correlations, Historical Volatility Ratios, Concentration Thresholds
Creation of an updated SIMM unit test and assessment of results, identification of test failures and interactions with participating banks to explain/solve issues
Perform, optimize and automate SIMM backtesting which compares SIMM results with P&L vectors over 10y history of banks’ data, and the SIMM benchmarking. Interact with participating banks to explain/solve issues
Actively interact with other team members and ISDA colleagues, coordinate responses to members, and optimize the quality and efficiency of the Analytics function
Ensure ongoing review of the safety and confidentiality of collected data, processes, analyses and results
Respect and promote ISDA’s corporate values
Required Skills and Knowledge
Demonstrable knowledge and experience of derivatives markets and global regulatory capital frameworks. In particular, experience of the ISDA SIMM, and knowledge of bank’s margining frameworks.
Advanced analytical and quantitative skills, excellent communication skills
Advanced coding skills in Python, good knowledge of Excel VBA, Git.
A self-starter who is strongly motivated, proactive team player, exercises effective judgment and able to develop the Analytics function’s as well as own capabilities
Desired Experience and Education
Relevant experience in comparably complex technical roles, proven ability to conduct complex quantitative analyses and present results to diverse audiences
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.
Since 1985, ISDA has worked to make the global derivatives markets safer and more efficient. Today, ISDA has more than 960 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: https://www.isda.org/ . Follow us on Twitter @ISDA.
ISDA offers a great work environment, with competitive salaries 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