Quantitative Risk Associate

Description: The Quantitative Risk Associate will join the OTC Derivatives department's Risk team to support NFA's responsibilities in monitoring swap dealers' (SD) internal capital and margin models' performance and conducting risk data analysis. The Quantitative Risk Associate will also provide technical expertise on capital, margin, and other matters relating to quantitative risk management and collateral disputes.


  • Assist in the on-going monitoring of SD Members' use of approved capital and margin models as a technical expert and provide ongoing assistance to the Risk team with due diligence inquiries involving collateral disputes.
  • Review on-going conceptual model assessment and implementation, input data validation, back-testing and benchmark testing.
  • Identify model performance issues and model limitations, evaluate the materiality, and liaise with Model team and SD Members on resolution.
  • Assist in providing guidance to SD Members regarding improvements in model performance reporting, documentation and governance.
  • Utilize statistical, econometric and analytical skills to conduct risk data analysis.
  • Provide subject matter expertise on various issues related to quantitative risk management.
  • Participate in SD examinations as needed.
  • Advise and assist Directors and Examiners in drafting and improving examination and 4s review modules for capital and margin.
  • Represent and promote NFA's educational initiatives by interacting with Members, industry representatives and other outside organizations.
  • Advanced degree in economics, finance, mathematics, statistics or related field
  • Three or more years of experience in quantitative risk management at a financial institution, commodity or energy firm or regulatory agency
  • Detailed knowledge of OTC derivatives and underlying markets, pricing models, risk models, sensitivities and valuation methods
  • Experience with commodity products valuation preferable
  • Familiarity with Dodd-Frank regulations a plus
  • Must work well as part of a team
  • Strong interpersonal, verbal and written communication skills
  • Willingness to travel as required (up to 40% or more)
Location: New York, NY

Job ID: 238

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