Margining Methodology Risk Analyst
As a Margining Methodology Risk Analyst you will be part of a small team within the Exposure Management Group focusing on the methodology and governance around the calculation of initial margin for the uncleared derivative portfolio. The team will works in collaboration with Market Risk Management, Market Risk Operations and Risk Analytics Instruments Validation teams to get regulatory approval for the uncleared margining framework (methodology, controls and governance). The mandate also includes defining clearing / Prime Brokerage margin methodologies, management of the SPV repack portfolio and calibration of the credit risk engine models. The team also has very close interaction with Front Office to define and agree on the margining framework to implement and to submit for regulatory approval.
Responsibilities
- Working with a team of Exposure Management Analysts, focusing on uncleared margining initiative
- Assist in defining margin and collateral haircut methodology for each client type
- Define reporting requirements, exception management and ensure proper pre-deal approval process in conjunction with other Risk teams and Front Office partners
- Define and perform regular backtesting of the margin (and collateral) methodologies
- Involved in bank wide working groups and committees
Skills
- Strong mathematical and statistical background
- Good understanding of VaR concept, valuation and margining approaches and methodologies
- Previous experience with margining approaches and methodologies (exchanges, central clearing counterparties (CCP))
- Advanced knowledge in MS Office (Excel and VBA in particular)
- Knowledge of regulatory landscape including Dodd-Frank and EMIR
To apply for this role you should posses the skills as outlined above along with the ability to work in fast paced environment. You will have excellent written and oral communication skills and you will be able to demonstrate flexibility regarding problem solving. This is an excellent opportunity to join a global bank in an interesting and expanding area of risk.
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