Initial Margining Risk Analyst
Regulatory Risk Analytics - Market Risk Management
A top institution based in Canary Wharf is looking for an experience risk manager to provide immediate experience and analytical knowledge to a complex project that involves modeling 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
The project to deliver the Risk-Based Margining is underway and the following applications have been defined:
- Calculation of minimum Initial Margining
- Validation of IM required by CCPs
- Definition of new risk limit framework
- Providing Portfolio margining to clients
This is a complex project that requires interaction with a large number of users within the bank for a successful delivery. Particular attention is focused on the Initial Margining calculation accurately taking into account the risks (including liquidity risk, wrong-way risk, Jump to Default risk, Pegged currency risk).
Accurate capture of this could lead to a significant Initial Margining benefit and additional market share. It is critical that this be supported by strong analysis and methodology.
Additionally, there is a requirement to be able to develop a methodology that enables the business to better understand the drivers of the charge and how these can be managed effectively.
You will be required to
- Help ensure there is appropriate methodology in place for the calculation of the Initial Margining
- Enhance existing approaches based on experience from other top CCPs or firms
- Provide additional analysis identifying areas of weakness and delivering solutions
- Help develop an ongoing validation programme for the Risk-Based Margining project
- Help develop analytics that explain the key drivers of the Initial Margining
If you believe that you possess the skills required and the experience needed for the role then don't delay, apply now
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