Risk Analyst (Margin Models)

Full Job Description

This position is located in the Risk Surveillance Branch of the Division of Clearing and Risk (DCR).

The Risk Surveillance Branch (RSB) is responsible for quantitative risk surveillance of the clearing eco-system – derivatives instruments, both cleared and uncleared, markets intermediaries and their clients, and clearinghouses.

The program has three core functions: margin model oversight, daily risk surveillance, and supervisory stress tests.

CT-14 Level: To qualify for the CT-14 level you must have at least one year of specialized experience equivalent to the next lower grade (GS/CT-13 level).

Specialized experience is defined that through which one has gained experience: Applying advanced statistical concepts within the risk management framework including tasks such as stochastic process modeling, multi-variate distributions, value at risk, extreme value theory, GARCH, and EWMA; Applying knowledge of derivatives market structure and risks in financial market activities, asset pricing and modeling techniques; Utilizing statistical software (SAS, MATLAB, Python, etc.) to perform tasks such as value interest rate swaps and interest rate swap portfolios, value credit default swaps and credit default swap portfolios and mining large databases, analyzing data, and creating data visualizations.

Desirable Experience includes experience gained at a clearing house, bank, member of a clearing house, trading firm, or a regulatory agency with oversight authority over aspects of the financial markets.

This experience may have been gained in either the public or private sector. Major Duties:

As a Risk Analyst (Margin Models) in the Risk Surveillance Branch, you will: Draft documents describing margin methodologies used, or proposed, by registered CCPs in both high-level overviews as well as more detailed narratives; Evaluate margin models used for a diverse set of derivatives products, including models for futures, options on futures, and over-the-counter (OTC) derivatives such as credit default and interest rate swaps; Develop and build prototypes of margin models, or components of margin models, to determine if they appropriately reflect underlying product risk.

In addition to these prototypes, analysts would perform statistical analysis such as stochastic process modeling, multi-variate distributions, value-at-risk, expected shortfall, etc., to evaluate the effectiveness of margin models; Use financial and statistical software programs such as MATLAB, R, Python and/or SAS to value and stress test futures and OTC derivatives (e.g.

rate and credit swaps) at both an instrument and portfolio level; Use knowledge of statistical distributions of financial assets, correlation of tail distributions, and valuations based on statistical assumptions in evaluating margin models Plan, coordinate, and conduct risk surveillance activities for evaluating market, and other position-related, risk at clearing houses (CCPs) and clearing members (CMs), conduct stress test and back-testing analyses, and identify market participants that pose unusual levels of risk; Perform analyses of large trader and clearing member positions and prepare reports on information and data pertaining to the risk posed by specific registrants during times of unusual market volatility, including the adequacy of collected margin; Develop historical knowledge of the types of risks facing CCPs, their members, and their clients, and how these have changed through time.

This work is applicable throughout the Commission's programs of oversight over CCPs, self-regulatory organizations (SROs) and CMs; Lead presentations for DCR senior staff and staff of other Commission offices/divisions regarding margin model issues or innovations.

Incumbent is able to answer questions from DCR and other Commission staff and from the public concerning the theoretical and practical aspects of CCP margin models; Plan, coordinate, and participate in the regular evaluation of risk management systems and functions of entities such as CCPs and CMs, as well as in non-routine reviews involving complex or unusual issues arising from the financial information and analyses of such entities.

Prepare reports of review findings.