Risk Analyst (Margin Models)

Employer
USAJobs
Location
Washington, D.C
Posted
Aug 16, 2019
Closes
Aug 20, 2019
Function
Analyst
Hours
Full Time
Duties

Summary

This position is located in the Surveillance Branch of of the Division of Clearing and Risk. The Surveillance Branch 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.

Learn more about this agency

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. Margin models evaluated will perform calculations on multi-denominated currencies.
  • Identify risk management and analytical software needs in order to effectively perform responsibilities 1-3. Participate in all discussion on analytical software needs and the design and development of risk analysis platform.
  • 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.
  • Create personalized and group-wide stress test "what-if" analysis on identified positions, evaluates numerical and graphical results, compares potential losses to the financial condition of market participants, and evaluates portfolios for risk-reducing positions or changes in positions as a result of the stress test "what-if" calculations.
  • Perform statistical analysis such as value at risk, expected shortfall, etc., necessary for the evaluation of margin models. Perform daily analyses of the pay/collect data received from a DCO to determine if an excess pay may present a risk to a DCO's clearing member.
  • Plan, coordinate, and conduct risk surveillance activities for evaluating market risk at FCMs and DCOs, conduct stress test analyses, and identify market participants that pose unusual levels of risk. Perform analyses of large trader and clearing member positions and prepare reports on information and data pertaining to the risk posed by specific registrants during times of unusual market volatility. Develop historical knowledge of the types of risk facing FCMs/DCOs. This work is applicable throughout the Commission's programs of oversight over DCOs, SROs, and FCMs.
  • Plan, coordinate, and conduct ongoing financial surveillance activities, including analysis and review of financial and large trader reports filed by market participants and applicants for registration, and on-site investigation of issues raised by such reviews; review and investigate notices received from registrants, SROs and public accountants relating to financial or recordkeeping deficiencies; evaluate information generated by computerized financial surveillance systems; monitor market activity to identify and, in coordination with the regional Audit and Financial Review branches, investigate situations with potential negative impact on registrant capital. Prepare reports that set forth the findings of the analyses carried out by RSB.
  • Participate in reviews of sufficiency of exchange-set margin levels. Perform analysis of the percentage of maintenance margin used by a change in dollar value of contracts and portfolio profit and loss on daily market moves for a selected period. Prepare on a regular basis quantitative and graphical analyses summarizing the sufficiency of exchange set margin levels, and perform analysis of the financial impact of clearing members' mark-to-market totals across multiple exchanges.
  • Plan and coordinate the monitoring of market news and commodity prices throughout the day and otherwise use all available information to appropriately focus special evaluations of the financial condition of market participants. Coordinate contacts with management and staff of clearinghouses, commodity exchanges, and clearing members to obtain and to share information necessary for the evaluation of market news.
  • Lead presentations for DCR senior staff and staff of other Commission offices/divisions regarding the margin model issues. Incumbent is able to answer questions from DCR and other Commission staff and from the public concerning the workings of DCO margin models.
  • Plan, coordinate, and participate in the evaluation of risk management systems and functions of entities such as DCOs and FCMs, and in non-routine reviews and reviews involving complex or unusual issues arising from the financial information and analyses of such entities. Prepare reports of review findings.
  • Testify as an expert witness in administrative hearings and court cases involving risk surveillance activities, financial and risk analysis, techniques, and methods, and Commission review procedures. Advise the Division of Enforcement's attorneys and futures trading investigators, and corresponding personnel from other government agencies on the application and interpretation of such matters.


Travel Required

Occasional travel - 10% to 15% annually

Supervisory status
No

Promotion Potential
14

Requirements

Conditions of Employment

  • U.S. Citizenship
  • Background/Security Investigation
  • Males born after 12-31-1959 must be registered for Selective Service


Additional selections may be made from this announcement as needed.

Qualifications

CT-12 Level: To qualify for the CT-12 level - Applicants must have at least one year of specialized experience equivalent to the next lower grade level of an GS/CT-11. Specialized Experience is defined as experience applying advanced statistical concepts including value at risk, extreme value theory, GARCH, and EWMA. In addition, experience using tools such as SAS, Matlab, R, and Python, ability to mine large databases, and create data visualizations. This experience can be gained either through academic coursework or research related to a master's or doctoral degree, or work experience.

CT-13: To qualify for the CT-13 level - Applicants must have one year of specialized experience equivalent to the GS/CT-12 level. Specialized Experience is defined as experience applying advanced statistical concepts within a risk management or related frameworks including value at risk, extreme value theory, GARCH, and EWMA; knowledge of derivatives market structure, asset pricing and modeling techniques. In addition, experience using tools such as SAS, Matlab, R, and Python, ability to mine large databases, and create data visualizations.

CT-14: To qualify for the CT-14 level - Applicants must have one year of specialized experience equivalent to the next lower grade level of GS/CT-13. Specialized Experience is defined as experience applying advanced statistical concepts within the risk management framework including value at risk, extreme value theory, GARCH, and EWMA; knowledge of derivatives market structure and risks in financial market activities, asset pricing and modeling techniques,; usage of statistical software (SAS, MATLAB, etc.) to value interest rate swaps and interest rate swap portfolios, value credit default swaps and credit default swap portfolios and to mine large databases, analyzing data, and creating data visualizations.

*The experience may have been gained in either the public or private sector. One year of experience refers to full-time; part-time work is considered on a prorated basis.

Education

Desireable - applicants who possess either a master's or doctoral degree in Economics, Finance, Statistics, Mathematics, or equivalent from an accredited college or university.

Additional information

Relocation. Relocation expenses will not be paid.

Must serve a one year probationary period.

Interagency Career Transition Assistance Program (ICTAP). The ICTAP provides eligible displaced federal competitive service employees with selection priority over other candidates for competitive service vacancies. If your agency has notified you in writing that you are a displaced employee eligible for ICTAP consideration, you may receive selection priority if: 1) this vacancy is within your ICTAP eligibility, 2) you apply under the instructions in this announcement, and 3) you are found well-qualified for this vacancy. To be well qualified, you must score 85 or better on established ranking criteria. You must provide proof of eligibility with your application to receive selection priority. Additional information about ICTAP eligibility is at: http://www.opm.gov/ctap/index.asp.ICTAP candidates MUST submit:
  • A copy of their agency reduction-in-force notice;
  • A copy of your most recent Performance Rating;
  • A copy of your most recent SF-50 noting current or last position held, the grade level, and the duty location; and
  • A copy of your notice of proposed removal for declining a directed reassignment or transfer of function outside the local commuting area or documentation showing you were separated as a result of RIF or declining a directed reassignment or transfer of function outside the local commuting area.

  • Career Transition Assistance Program (CTAP).Provides eligible surplus and displaced competitive service employees in the CFTC with selection priority over other candidates for competitive service vacancies. If CFTC has notified you in writing that you are a surplus or displaced employee eligible for CTAP consideration, you may receive selection priority if: 1) this vacancy is within your CTAP eligibility, 2) you apply under the instructions in this announcement, and 3) you are found well-qualified for this vacancy. To be well qualified, you must rate equivalent to the Well Qualified or better category using established rating criteria. You must provide a copy of your written notification of CTAP eligibility with your application. Additional information about CTAP eligibility is at: http://www.opm.gov/ctap/index.asp .

    The following links provide information on how you may be eligible for various hiring authorities: 1. VRA - http://federaljobs.net/veterans.htm 2. VEOA - http://opm.gov/staffingPortal/Vetguide.asp 3. 30% or more disabled veteran - http://opm.gov/staffingPortal/Vetguide.asp 4. Persons with disabilities - http://www.opm.gov/DISABILITY/ 5. CTAP - http://www.opm.gov/ctap/ 6. ICTAP - http://www.opm.gov/ctap/

    EEO Policy Statement. The United States Government does not discriminate in employment on the basis of race, color, religion, sex, national origin, genetic information, political affiliation, sexual orientation, marital status, disability, age, membership in an employee organization, or other non-merit factor.

    Reasonable Accommodation. Federal agencies must provide reasonable accommodation to applicants with disabilities where appropriate. Applicants requiring reasonable accommodation for any part of the application and hiring process should contact the hiring agency directly. Determinations on requests for reasonable accommodation will be made on a case-by-case basis.

    How You Will Be Evaluated

    You will be evaluated for this job based on how well you meet the qualifications above.

    Your application will be evaluated and rated under CFTC Category Rating and Selection Procedures. Your resume and supporting documentation will be used to determine whether you meet the job qualifications listed on this announcement. If you are minimally qualified for this job, your resume and supporting documentation will be compared to your responses on the online assessment questionnaire. If you rate yourself higher than is supported by your application materials, your responses may be adjusted and/or you may be excluded from consideration for this job. Your application will then be placed in one of three categories: Best Qualified, Well Qualified, or Qualified. Names of all candidates in the best qualified category will be sent to the hiring official for employment consideration. Candidates within the best qualified category who are eligible for veterans preference will receive selection priority over non-veteran preference eligible.

    You will be evaluated on the basis of your level of competency (knowledge, skills, and abilities) in the following areas:

    Skill applying financial analysis and statistical modeling;

    Knowledge of risk management concepts and applications;

    Expertise using statistical software;

    Experience communicating in a clear, concise and effective manner, both orally and in writing, in order to prepare reports that document analysis, findings, and conclusions.

    To preview questions please click here .

    Background checks and security clearance

    Security clearance
    Other

    Drug test required
    No

    Required Documents

    • Resume showing relevant experience (cover letter optional)
    • Veterans preference documentaion, if applicable
    • An unofficial college transcript, if applicable


    If you are relying on your education to meet qualification requirements:

    Education must be accredited by an accrediting institution recognized by the U.S. Department of Education in order for it to be credited towards qualifications. Therefore, provide only the attendance and/or degrees from schools accredited by accrediting institutions recognized by the U.S. Department of Education .

    Failure to provide all of the required information as stated in this vacancy announcement may result in an ineligible rating or may affect the overall rating.

    Similar jobs

    More searches like this