Job Title: Assistant Director, ISDA SIMM Team
Reports to: Head of SIMM
Location: London/ New York
Salary range for New York – $100,000 – $130,000
Overview – ISDA
Since 1985, ISDA has worked to make the global derivatives markets safer and more efficient. Today, ISDA has over 1,000 member institutions from 78 countries. These members comprise 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. In addition to market participants, members also include key components of the derivatives market infrastructure, such as exchanges, intermediaries, clearing houses and repositories, as well as law firms, accounting firms and other service providers.
Overview – SIMM Team
Derivatives Product and Infrastructure (DPI): This department 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.
Non-Cleared Margin Initiative: The 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).
ISDA Standard Initial Margin Model (SIMM) Team: A core component of the initiative is the SIMM Team, which develops and maintains a regulatory‑compliant standard initial margin model methodology for global market participants. SIMM was successfully launched on September 1, 2016. Since then, the model has undergone rigorous testing, regular regulatory review, and widespread adoption by buy- and sell‑side firms globally. Currently, 426 entity groups are licensed to use ISDA SIMM, and 65 vendors are licensed to provide SIMM‑related services.
Job Purpose
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
- SIMM Maintenance and Management: 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.
- Context and Impact: ISDA’s work in advancing a safer and more efficient global derivatives market involves highly complex functions and processes. The technology supporting these efforts must be cutting‑edge, enabling standardized automation and operational excellence.
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.
- 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.
- 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.
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