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📁
Risk Management
📅
20000585 Requisition #
Job Purpose

The Model Risk Analyst is a member of the Risk Oversight Team at ICE Clear Europe. The Risk Oversight Department is a second line risk function which facilitates setting risk boundaries and provides independent risk oversight to the business. It is proactive in identifying, assessing and independently escalating risks when necessary.

 

ICE Clear Europe uses models to measure, analyze and monitor counterparty credit risks, credit risks and liquidity risk arising from its functions. The Model Risk Management team, part of the Risk Oversight Department, is responsible for all aspects of model risk, encompassing model governance & control, model validation, and model performance monitoring across a wide range of applications.

 

This new hire will be instrumental in establishing and maintaining all model performance monitoring activities for the firm. The role requires both in-depth technical expertise in particular areas of risk management and derivatives, and a broad understanding of the business of a complex, systemically important clearing and central counterparty.

 

It provides an exciting opportunity for a technical expert looking for more breadth in a small team in a complex organisation. You will gain experience of derivative pricing models, market, credit, margin, and liquidity risk models, stress testing, as well as model performance and policy issues. Asset classes covered include interest rates, equities, energy, agriculture and cds, and funding products such as repo.

Responsibilities
  • Developing and maintaining firm wide model performance monitoring standards
  • Managing model performance reviews
  • Reviewing model performance metrics. Soliciting, collating and reviewing feedback from other departments and committees as part of the review analysis
  • Performing analysis as needed, in order to provide an independent view on performance issues
  • Reviewing, peer-reviewing, validating and assessing models, including documentation, model usage, data integrity, regulatory compliance, performance, reporting and governance
  • Ensuring compliance with model risk governance framework and regulatory requirements (e.g. EMIR, PFMI)
  • Presenting findings to model owners and senior management
  • Acting as an expert sounding board on risk matters, providing support to other team members
  • As required, undertake ad hoc projects which may extend beyond a strict validation and/or monitoring categorization

Knowledge and Experience
  • Post-grad degree in a numerical discipline (i.e., mathematics, statistics, physics, etc.)
  • Professional experience with market risk or risk validation
  • Experience with market risk models (e.g., Value at Risk, Filtered Historical Simulation, Stress testing)
  • Strong analytical skills, both qualitative and quantitative
  • Data Science experience, Python and SQL Skills
  • Teamwork and a collaborative attitude
  • Ability to present complex issues in a clear and concise manner
  • Confidence and the ability to provide challenge if required
  • Excellent written and spoken English
Preferred
  • Sound technical understanding of financial risks (i.e., market risk, counterparty risk, liquidity risk, etc.)
  • Experience working with multiple asset classes (Credit, Energy, Rates)
  • Experience with CCP regulations  (EMIR, CFTC, SEC, PFMI) or banking regulations (FRTB)
  • Professional experience in CCP risk management (default waterfall, auction)
  • Familiarity with the three lines of defense model
  • Experience with regulatory interaction or submissions
  • Expertise of data analysis/science tools (for example: Tableau, Jupyter notebooks)

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