Job Purpose

With approximately 5 million contracts cleared every day across multiple asset classes, ICE Clear Europe (ICEU) is one of the world’s most diverse and leading clearing houses. As a clearing house, ICEU performs a critical role in ensuring market stability especially through periods of volatility and increased uncertainty. It provides central counterparty clearing and risk management services for global energy, interest rate, equity index, and agricultural derivatives.

We leverage advanced quantitative models to effectively manage market risk for exchange-traded derivatives, credit risk of clearing members and counterparties, and liquidity risk associated with posted collateral. Our risk framework ensures resilience in dynamic market conditions while upholding the highest regulatory and operational standards.

ICE Clear Europe is seeking a Director, Model Risk Management to lead its Model Risk Management team. 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 role is responsible for validating and monitoring risk models used in the clearing house, ensuring their accuracy, robustness, and compliance with regulatory standards. The position involves end-to-end model risk assessment across initial margin, add-ons, and stress testing frameworks, with a focus on market, credit, and liquidity risk. Specifically, the role extends significantly beyond model validation work to include broad model performance assessment, reviews of daily business decisions regarding model usage, new products, model changes and technical regulatory requirements. You will bring expertise on 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 funding products such as repo.

This is an exciting opportunity for a technical expert looking for broader model and management exposure in a collaborative and flat organizational structure at the centre of financial markets.

Responsibilities

• Manage and perform technical validations of pricing and risk models. This consists of assessing the conceptual soundness, performance and implementation of a model as well as the use, compliance with regulation and performing quantitative analyses, independent testing and challenging of data and models.
• Write and review high quality, detailed validation reports tailored to the audience (management, regulators). These include a detailed scope, model description, testing results and recommendations for model enhancements.
• Ensuring compliance with model risk governance framework and regulatory requirements (e.g. EMIR, PFMI).
• Interacting with model owners, model developers, senior management etc., by whom your report and recommendations will be discussed and challenged.
• Present to risk committees at executive and Board level and represent
• Manage development cycles of the Risk Oversight analytics library used to support validation, on-going monitoring activities, management and Board reporting metrics.
• Acting as an expert sounding board on risk and regulatory quantitative 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

• Work experience as a Quantitative Analyst in either a Model Development or Validation Role at a financial services institution
• Experience with CCP regulations (EMIR, CFTC, PFMI), banking regulations (FRTB) or CCP risk management (margining, default waterfall, auction)
• Management experience, leading teams of quantitative analysts
• Excellent project management skills
• A postgraduate degree in a quantitative discipline (i.e., mathematics, computer science)
• Strong programming in Python
• Strong analytical skills
• Strong verbal and written communication skills in English
• Teamwork and a collaborative attitude
• Ability to present complex issues in a clear and concise manner
• Confidence and the ability to provide challenge

Desirable Knowledge and Experience 

• Additional qualification in Mathematical Finance
• Familiarity with the banks or clearing regulatory frameworks for Model Risk and industry best practices
• Familiarity with Valuation and/or Risk Models (e.g. derivative pricing, market and counterparty credit risk models, VaR, backtesting, stress testing models) across asset classes
• Experience with regulatory interaction or submissions
• Good understanding of model governance including development and validation documentation requirements
• Familiarity with SQL and Tableau

#LI-LG