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, etc.