This position is located in the Risk Surveillance Branch of the Division of Clearing and Risk (DCR). The Risk Surveillance Branch (RSB) 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.

Duties

As a Risk Analyst (Margin Models) in the Risk Surveillance Branch, you will:

Requirements

• U.S. Citizenship
• Background/Security Investigation
• May be required to serve a probationary period
• Subject to time-in-grade requirements, if applicable
• Selective Service Registration is required for males born after 12/31/1959

Qualifications

CT-11 Level: Education - Ph.D. or equivalent doctoral degree or 3 full years of progressively higher-level graduate education leading to such a degree; or LL.M. if related OR, at least one year of specialized experience equivalent to the next lower grade level of a GS/CT-9 level in the Federal service. Specialized experience is defined as experience applying statistical concepts including value-at-risk, extreme value theory, distributional theory, and GARCH. 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 a GS/CT-11 in the Federal service. Specialized Experience is defined as experience applying advanced statistical concepts including stochastic process modeling, multi-variate distributions, value at risk, extreme value theory, GARCH, and EWMA. In addition, experience could include using tools such as SAS, Matlab, R, and Python, the 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 next lower grade level of GS/CT-12 in the Federal service. Specialized Experience is defined as experience applying advanced statistical concepts within a risk management or related frameworks including stochastic process modeling, multi-variate distributions, value at risk, extreme value theory, GARCH, and EWMA; this experience would also include 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 in the Federal service. Specialized Experience is defined as experience applying advanced statistical concepts within the risk management framework including stochastic process modeling, multi-variate distributions, 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, Python, 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. Experience gained at a clearing house, bank, member of a clearing house, trading firm, or a regulatory agency with oversight authority over aspects of the financial markets is highly desirable. The experience may have been gained in either the public or private sector.

Education

To be creditable, education must have been obtained in an accredited college or university. You must report only attendance and/or degrees from schools accredited by accrediting institutions that are recognized by the U.S. Department of Education.

SPECIAL INSTRUCTIONS FOR FOREIGN EDUCATION: If you are using education completed in foreign colleges or universities to meet the qualification requirements, you must show that the education credentials have been evaluated by a private organization that specializes in interpretation of foreign education programs and such education has been deemed equivalent to that gained in an accredited U.S. education program; or full credit has been given for the courses at a U.S. accredited college or university. For further information, visit: http://www.ed.gov/about/offices/list/ous/international/usnei/us/edlite-visitus-forrecog.html

Contacts

• Address Commodity Futures Trading Commission CFTC Three Lafayette Centre 1155 21st Street, NW Washington, District of Columbia 20581 United States
• Name: Rolanda Morgan
• Phone: 202-418-5624
• Email: [email protected]