Executive Director Clearing Compliance Risk Management
Description:
The regulatory oversight of CME Clearing's risk management activities includes independent review and validation of margin models on a regular basis. CME Clearing utilizes a variety of margin methodologies for a variety of cleared products.
CME Clearing as a registered Derivatives Clearing Organization ("DCO") is heavily regulated, particularly with respect to risk management activities. The Commodity Futures Trading Commission ("CFTC" or "Commission") is the lead regulator for CME Clearing. CME Clearing is also subject to additional oversight activities of the United States Securities and Exchange Commission ("SEC") and the Board of Governors of the Federal Reserve ("Federal Reserve").
The authority for SEC oversight of CME Clearing relates to the clearing services for certain credit default swaps. The authority of the Federal Reserve derives from the designation of CME Clearing as a systemically important financial market utility ("SIFMU") by the Financial Stability Council under Title VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act ("Dodd-Frank"). Both agencies participated in the 2012 examination of CME Clearing's compliance with Title VIII and certain DCO Core Principles under the Commodity Exchange Act (the "Act"). The Federal Reserve pursuant to Title VIII and the SEC at the invitation of the CFTC and limited to matters related to the clearing of credit default swaps.
CME Clearing is also designated by the Financial Service Authority of the United Kingdom ("FSA") as a Recognized Overseas Clearing House. However, this designation will transition in 2013 to the Bank of England and the European Securities and Markets Authority ('ESMA"), with the implementation of new European Union ("EU") Regulations for central counterparties. Additionally, CME Clearing fully complies with the Principles for Financial Market Infrastructures published by the Committee on Payment and Settlement Systems and the Technical Committee of the International Organization of Securities Commissions ("CPSS-IOSCO"), which established international standards for central counterparties.
Responsibilities:
This position will have primary responsibility for the development of a formal model validation review process, review of models on a regular basis and following up with any open items from regulatory reviews. The position will also be responsible for the validation of risk, liquidity, and other relevant frameworks. The position will report to the Chief Compliance Officer of CME Clearing. Formal validation reports for each methodology must be prepared annually and submitted to the Chief Risk Officer of CME Clearing, relevant regulatory authorities and oversight committees. This role requires a dynamic candidate that can successfully lead/perform an independent, thorough and complete quantitative review and validation of each margin methodology utilized by CME Clearing. Ability to work independently and in a team environment is required.
Qualifications:
• Bachelor's degree in a related field such as Business, Economics, Engineering, Mathematics or an equivalent combination of education and work related experience. Preferred: Masters or PhD. in a relevant field.
• Strong statistical background including statistical theory, applied statistical model development and implementation
• Strong programming knowledge (Mathlab, Python, C++, Java, Bloomberg, etc.)
• Knowledge and familiarity of exchange traded and OTC derivative markets required
• Analytical and problem solving skills
• In-depth knowledge of mathematical finance, derivatives pricing, and numerical techniques for derivatives valuation (Monte Carlo simulation, partial differential equations, numerical analysis, probability theory, etc.)
• Minimum 8-9 years' experience (either model development or model review with a financial institution) with interest rates FX pricing models, and good understanding of model risk control and measurement
• Experience with equity/credit/FX hybrids pricing models along with knowledge in structured notes modeling is preferable
• Excellent verbal and written communication skills in English. Has the ability to effectively communicate work with model developers, risk managers, financial controllers, IT, internal audit and regulators
• Excellent leadership and management skills
• Detail-oriented, ability to think out-of-box, and provide effective challenge to models. Ability to think clearly, and has good business sense judgment
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