Assistant Director, ISDA SIMM ( London/ New York)

ISDA has worked to make the global derivatives markets safer and more efficient since 1985. Today, ISDA has over 1,000 member institutions from 78 countries, comprising a broad range of derivatives market participants, including corporations, investment managers, government and supranational entities, insurance companies, energy and commodities firms, and international and regional banks.

The SIMM Team collaborates with members, regulators, policymakers, and standard-setting bodies to develop market infrastructure and industry positions that promote safe and efficient markets for uncleared derivatives. It also provides technical analysis and guidance on key market issues.

The Non-Cleared Margin Initiative supports the implementation of global margin requirements for uncleared derivatives, based on guidelines issued by the BCBS-IOSCO Working Group on Margin Requirements (WGMR). A core component of this initiative is the SIMM Team, which develops and maintains a regulatory-compliant standard initial margin model methodology for global market participants.

The Assistant Director plays a pivotal role in supporting the ISDA SIMM maintenance cycle through timely quantitative analysis and the development of supporting technology. This position ensures the robustness and efficiency of SIMM processes, contributing directly to ISDA’s mission of promoting safer and efficient derivatives markets.

• 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 various 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.
• Validation of recalibrated parameters to ensure accuracy and adherence to SIMM methodology.
• Backtesting and benchmarking of SIMM results against historical P&L vectors.
• 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.

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.

Technical Skills:

• 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.
• Analytical Tools Proficiency: 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.