Bonds Specialist

You will be tasked to lead development of an effective bond risk framework, ensuring there is appropriate methodology in place for the calculation of the IM (particularly for repos).  You will also be responsible for enhancing existing approaches based on experience from other top CCPs or firms.

You will provide immediate experience and analytical knowledge to a complex project that involves modelling of initial margin for clearable and non-clearable derivatives. The key objective is to identify areas of improvement and provide solutions that can be delivered in a short timeframe. A specific area of improvement is the risk framework for bonds.

Context

IM calculation for non-centrally cleared derivatives is an EMIR requirement. This comes into effect from the 1 January 2015. Based on current estimates the impact of this requirement is very significant and as a consequence there is increased emphasis on model accuracy. Furthermore, there is a requirement to be able to explain the impact to the business.

Business Need

A candidate is required with a strong methodology and market background who can readily communicate complex concepts to the business. This ability to translate methodology to business action is critical for the Risk-Based Margining project which will have significant impact on how the business operates effectively and efficiently post-EMIR. Someone who has a strong background of the bond market can lead initiatives to improve the risk framework for bonds. This is not only required in the context of the firm’s own exposures, but also with regard to effective collateral modelling

The project to deliver the Risk-Based Margining is underway and four applications have been defined:

This is a complex project that requires interaction with a large number of users within the bank for a successful delivery. Particular attention is focussed on the IM calculation accurately taking into account the risks (including liquidity risk, wrong-way risk, JTD risk, Pegged currency risk). Accurate capture of this could lead to an IM benefit of the order of $5-10bn and additional market share. It is critical that this be supported by strong analysis and methodology.

May 10, 2013 • Tags:  • Posted in: Financial

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