Risk and Capital Analytics, Assistant Director
New York, NY
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
- Minimizing systemic risk and ensuring safe efficient markets in the cleared and uncleared markets
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 CLIENT SIMM and the development of evidence based Risk, Capital and margin advocacy. The function reinforces CLIENT's credibility with Regulators and is key to achieving substantive changes to proposed rulemakings. The function gives CLIENT access to actual members' data allowing building 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 CLIENT SIMM and promote CLIENT's fact-based advocacy.
The Assistant Director role reports to the Head of Analytics.
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 back testing 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 in CLIENT's in-house analytics capabilities to provide relevant analysis instrumental to the maintenance and management of the CLIENT SIMM. This includes analysis supporting the ongoing SIMM maintenance cycle: recalibration and validation, back testing and benchmarking
- Implement, optimize and maintain the necessary systems to conduct the following key steps of the SIMM maintenance cycle:
- Implementation of SIMM enhancements to the proprietary CLIENT SIMM Excel/VBA Model
- Collection and cleansing of the required data from participating banks identification of data issues, suggestion of data quality improvements, coordination of resubmissions
- Re-calibration of the SIMM parameters reflecting above SIMM enhancements as well as updated market data under the " 3y history + 1y stressed framework:
- Risk weights
- Historical Volatility Ratios
- Concentration Thresholds
- Comparison of independently calibrated SIMM parameters with above re-calibrated parameters, analysis of discrepancies and suggestions for reconciliation
- 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 back testing which compares SIMM results with P&L vectors over 10y history of banks' data. Interact with participating banks to explain/solve issues
- Perform SIMM benchmarking comparing SIMM output with CCP output for each SIMM asset class, identify and explain observed discrepancies
- Conduct CLIENT's in-house analysis to support evidence based Risk and Capital advocacy, helping to reinforce CLIENT's 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 on CLIENT members
- 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 CLIENT 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 the CLIENT 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
- Respect and promote the CLIENT corporate values
Required Skills and Knowledge
- Full command of derivatives markets and global regulatory capital frameworks. In particular, extensive knowledge of derivatives risk management, the CLIENT SIMM, and knowledge of bank's Margin and Capital frameworks. Excellent analytical and quantitative skills
- Credibility and capacity to build strong relationships with regulators, members and stakeholders domestically and internationally
- Excellent oral and written communication skills, highly articulate, ability to present, interface and establish consensus. English proficiency (and desirably other international languages)
- Demonstrated ability to achieve outcomes through the effective management of financial, physical and human resources, to prioritize and manage competing deadlines for self and others
- Advanced coding skills in Excel Vba, and Python or R, are required.
- A self-starter who is strongly motivated, proactive, exercises effective judgment and able to develop the Analytics function's as well as own capabilities
- Confident public speaker able to develop and present relevant material at CLIENT conferences
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.