Commodity Futures Trading Commission

Position Title/Short Description

Full Text of JOE Listing:

Summary

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.

Responsibilities

As a Risk Analyst (Margin Models) in the Risk Surveillance Branch, you will:

Draft documents describing margin methodology in both a high level over view and a detailed narrative;

Evaluate margin models for a diverse product mix, including futures, options on futures, Credit Default Swaps, Interest Rate Swaps and other cleared over-the-counter products;

Develop and build prototypes of margin model components to determine if they are fit for purpose. As well as perform statistical analysis such as value at risk, expected shortfall, etc., necessary for the evaluation of margin models;

Use financial and statistical software programs such as MATLAB, R, or Python and SAS to value and stress test futures, interest rate swaps, and credit default swaps instruments and portfolios;

Plan, coordinate, and conduct risk surveillance activities for evaluating market risk at clearing houses (CCPs) and clearing members(CMs), conduct stress test 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;

Develop historical knowledge of the types of risk facing CCPs, their members, and their clients. 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 the margin model issues. Incumbent is able to answer questions from DCR and other Commission staff and from the public concerning the workings of CCPs margin models;

Plan, coordinate, and participate in the evaluation of risk management systems and functions of entities such as CCPs and CMs, and in non-routine reviews and reviews involving complex or unusual issues arising from the financial information and analyses of such entities. Prepare reports of review findings.