Assistant Director, ISDA SIMM

Duties and responsibilities

• Lead and contribute to the ongoing maintenance of the ISDA SIMM, including:
• Implementation of SIMM enhancements into proprietary ISDA SIMM models.
• Data collection, review and aggregation from a variety of sources including public and vendor sources, identifying data quality issues, recommending improvements, and coordinating resubmissions.
• Recalibration of SIMM parameters such as risk weights, correlations, historical volatility ratios, and concentration thresholds, based on enhancements and updated market data.
• Validation of recalibrated parameters to ensure accuracy and adherence to SIMM methodology.
• Backtesting and benchmarking of SIMM results against historical P&L vectors, including automation and optimization of these processes, and collaboration with banks to address discrepancies.
• Reconciliation or backtesting results, including identification of test failures and resolution through engagement with participating banks.
• Cross-Team Collaboration: Work closely with SIMM team members and ISDA colleagues to enhance the quality and efficiency of SIMM-related processes.
• Technology and Platform Development: Continuously review and propose enhancements to the Perun analytics platform to support and streamline SIMM analytics.
• Corporate Alignment: Uphold and promote ISDA’s corporate values

Qualifications & Experience

• A Master’s degree (or equivalent) in a quantitative discipline such as Mathematics, Physics, or a related field.
• A minimum of five years of professional experience in risk management, quantitative finance, or a closely related area.
• Prior experience working within a consulting firm, or at a sell-side or buy-side financial institution.
• Demonstrated involvement in initial margin implementation programmes.

Relevant Skills/ Abilities

• Technical Skills
• Understanding of Regulatory Frameworks: Familiarity with the BCBS-IOSCO margin requirements and their jurisdiction-specific implementations as they pertain to SIMM.
• Familiarity with the Standardized approach (FRTB-SBA) for regulatory capital
• SIMM Methodology Expertise: Working knowledge of the SIMM framework or the technical aptitude to grasp its core components within a short timeframe.
• Analytical Tools Proficiency: Advanced skills in Microsoft Excel.
• Experience developing algorithms using Python, C/C++, and Excel/VBA.
• Behavioral Competencies
• Results-Oriented: Demonstrates a proactive, solution-focused approach to problem solving.
• Organized and Efficient: Maintains high levels of productivity through structured and methodical work habits.
• Innovative and Adaptable: Shows creativity in overcoming challenges and flexibility in dynamic environments.
• Receptive to Feedback: Open to coaching and continuous improvement through constructive input.