Head of Financial Risk Management

Responsibilities

• Lead the design, calibration, monitoring, and governance of initial and variation margin models for futures, options, and swaps.
• Recalibrate margin parameters, including lookback windows, volatility scaling, anti-procyclicality measures, liquidity add-ons, and concentration charges.
• Evaluate and enhance SPAN-style, VaR/Expected Shortfall, and filtered historical simulation methodologies.
• Conduct back-testing, sensitivity analysis, and model performance reviews; present findings to stakeholders, the Risk Committee, and regulators.
• Design and refine historical, hypothetical, and reverse stress-testing scenarios.
• Monitor clearing member and clearinghouse exposures, including concentration, wrong-way, liquidity, and tail risks.
• Assess default waterfall, guaranty fund sizing, and skin-in-the-game contributions.
• Produce daily, weekly, and monthly risk reporting for management, the Risk Committee, and regulators.
• Ensure compliance with CFTC Part 39 DCO Core Principles and related requirements.
• Liaise with the CFTC and other regulators during examinations, rule certifications, and inquiries.
• Maintain model risk management documentation and support Risk Committee preparation, member due diligence, and new product evaluations.
• Conduct clearing member financial and operational risk reviews, including capital adequacy, liquidity, and risk management practices.
• Monitor intraday and end-of-day exposures, margin calls, and collateral sufficiency.
• Partner with operations and technology to improve real-time risk monitoring tools and dashboards.

Requirements

• 10+ years of risk management experience at a CFTC-registered Derivatives Clearing Organization, with direct ownership of margin or stress-testing methodologies.
• Deep knowledge of CFTC regulations, especially Part 39 DCO Core Principles, with familiarity with Parts 1, 22, and 190.
• Expertise in VaR, Expected Shortfall, scenario analysis, volatility modeling, and portfolio risk aggregation across futures and options.
• Experience designing and validating margin models using SPAN, SPAN 2, historical simulation, parametric, or Monte Carlo approaches.
• Hands-on experience designing and executing DCO-compliant stress-testing programs, including liquidity stress tests and default management drills.
• Bachelor's degree in Finance, Economics, Mathematics, Statistics, Engineering, or a related quantitative discipline.
• Excellent written and verbal communication skills, including presenting complex risk concepts to executives, board members, and regulators.
• Sound judgment under pressure, intellectual rigor, and strong attention to detail.
• Ability to collaborate across risk, operations, technology, compliance, and legal functions.
• Comfort engaging with regulators, clearing members, and senior stakeholders.

Nice to Have

• Futures Commission Merchant (FCM) experience, including customer segregation, house versus customer margining, and FCM risk management.
• Experience with cleared derivatives across digital assets, interest rates, energy, agricultural, metals, equity indices, or FX markets.
• Knowledge of default management processes, including auctions, hedging, and porting customer positions.
• Experience supporting regulatory examinations, rule filings, or CFTC Part 40 product self-certifications.

Compensation

• Annual salary range: $110,400–$220,800.