ISDA · 1 month ago
Assistant Director, SIMM
New York, United States
Full-time
Onsite
Mid, Senior Level
5+ years expISDA is focused on strengthening the infrastructure supporting derivatives markets, promoting safety and efficiency through the Non-Cleared Margin Initiative. The Assistant Director plays a pivotal role in supporting the ISDA SIMM maintenance cycle through quantitative analysis and technology development, ensuring robust and efficient SIMM processes.
AssociationFinancial ServicesInsuranceRisk Management
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
Work closely with SIMM team members and ISDA colleagues to enhance the quality and efficiency of SIMM-related processes
Continuously review and propose enhancements to the Perun analytics platform to support and streamline SIMM analytics
Uphold and promote ISDA’s corporate values in all aspects of work
Qualification
Required
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
Understanding of Regulatory Frameworks: Familiarity with the BCBS-IOSCO margin requirements and their jurisdiction-specific implementations as they pertain to SIMM
SIMM Methodology Expertise: Working knowledge of the SIMM framework or the technical aptitude to grasp its core components within a short timeframe
Advanced skills in Microsoft Excel
Experience developing algorithms using Python, C/C++, and Excel/VBA
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
Company
ISDA
Since its founding in 1985, the International Swaps and Derivatives Association has worked to make over-the-counter (OTC) derivatives markets safe and efficient.
51-200 employees
H1B Sponsorship
ISDA has a track record of offering H1B sponsorships. Please note that this does not
guarantee sponsorship for this specific role. Below presents additional info for your
reference. (Data Powered by US Department of Labor)
Distribution of Different Job Fields Receiving Sponsorship
Represents job field similar to this job
Trends of Total Sponsorships
2025 (1)
2024 (1)
2023 (2)
2021 (2)
2020 (2)
Funding
Current Stage
Growth StageLeadership Team
Scott O'Malia
CEO
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