Functional Title

Macro & Modeling Specialist

Location

New York Office

Corporate Title

Level 3

Reporting to

Macro & Modeling Lead

Department

Participation and Credit Risk (PCr)

Number of Direct Reports

0

Job Purpose

Established in 2002 as a result of unprecedented co-operation among the global FX community, CLS began settling FX payment instructions in 2002 in seven currencies for 39 settlement members. Today, CLS settles on average $5 trillion payment instructions daily in 18 currencies for 74 settlement members and over 25,000 third-party customers. CLS is supervised by the Federal Reserve Bank of New York, which co-ordinates with the CLS Oversight Committee, a formal co-operative oversight arrangement established by 23 central banks whose currencies are settled in CLS.

CLS Risk Management is led by the Chief Risk Officer (CRO), who reports directly to the Chief Executive Officer and, to ensure independence, also reports to the Risk Management Committee of the CLS Group Board. The CLS Risk Management framework provides robust processes, tools, reporting and controls for identifying, monitoring, and managing risks which may affect the operational resilience, credit, liquidity, and legal requirements of the CLS services.

Reporting to the CRO, Participation and Credit Risk (PCr) department is responsible for establishing the requirements for identifying, assessing, managing, monitoring and reporting credit risk at CLS, including calculation and adjustment of aggregate short position limits and the assessment of compliance with initial onboarding requirements as well as on-going participation eligibility for direct service participants, currencies, and liquidity providers, (i.e., financial institutions with whom CLS enters into and maintains liquidity facilities). CLS is exposed to modest residual credit risk from each settlement member to the extent that they incur a short position in one or more eligible currencies.

The position is based in New York and will work closely with diverse business and risk managers across the CLS Group to

· Utilize and refine the statistical and econometric credit risk models, such as indicators of sovereign credit risk and measures gauging settlement member financial and operational resilience.

· Identify and monitor emerging economic risks/vulnerabilities in the jurisdictions that CLS operates in, as well as watch over the global macro-financial landscape.

· Prepare analyses and reports that summarize and highlight key economic, financial, and geopolitical risks, to senior management.

Macro and Modeling Specialists are prepared to:

• Monitor and assess market and political events relating to sovereign jurisdictions and financial institutions of direct CLS service participants and liquidity providers, and identify potential areas of financial and operational concerns.

· Conduct credit risk assessments of sovereign jurisdictions and financial institutions, encompassing both existing and prospective participants of CLS ecosystem.

• Contribute to the research and enhancement of internal metrics that quantitatively measure and estimate the degree of potential systemic risk that CLS faces.

The position requires involves active engagement and collaboration with a diverse audience of CLS stakeholders.

Internal CLS stakeholders include: (i.) CLS’s Executive Management Committee, (ii.) other Risk Departments, (iii.) Product/Sales, (iv.) Legal, (v.) Compliance, (vi.) Operations, (vii.) Information Technology and (viii.) Internal Audit.

Other CLS stakeholders include: (i.) CLS Bank Regulators, (ii.) CLS’s Risk Management Committee, (iii.) CLS Bank Members, (iv.) CLS Bank Liquidity Providers and (v) other systemically important participants operating within the CLS services.

The position offers a truly global opportunity to apply economic analysis, statistical methods, strategic planning, and risk management disciplines to the CLS Group’s global foreign exchange settlement service and the broader CLS Ecosystem. The small size and high caliber of the Participation and Credit Risk team offers the opportunity to collaborate closely with the CLS Executive Management Committee and both internal and external risk managers.

Essential Functions

Major duties and responsibilities of the job

Strategic

The Macro & Modeling specialist is a pivotal role that will have responsibility for a global portfolio of sovereign jurisdictions and financial institutions. This role entails monitoring and evaluating macroeconomic and banking systemic risks, competitive and regulatory developments, in addition to managing strategic portfolio reviews of the sovereign jurisdictions and financial institutions.

The position involves an ongoing commitment to enhancing CLS internal benchmarks, risk analytical tools, processes, and procedures for managing risks exposures of the sovereign jurisdictions and financial institutions in the CLS ecosystem.

The role offers the opportunity to engage in pivotal projects relating to emerging growth prospects for the organization. The position is intricately tied to fostering cross-functional collaborations across the organization, and wielding the ability to shape senior management perspectives and engage with CLS regulators.

· Provide recommendations regarding sovereign jurisdictions and financial institutions that require heightened scrutiny due to inherent risks, potentially impacting the respective credit limits.

· Monitor rating changes for sovereign jurisdictions and financial institutions.

· Analyze economic and political dynamics in key developed and emerging market economies, drawing connections between these shifts and their impact on CLS ecosystem.

Leadership

The successful candidate will cultivate profound connections spanning both within and beyond CLS, and foster a strong culture of collaboration and partnership, including all of the following opportunities:

· Exert substantial influence over risk strategy, appetite, and growth blueprints.

· Interface with management across businesses, functions, and global regions.

· Embrace an entrepreneurial role with significant room for project ownership and innovative idea generation.

· Participate in a fast-paced, high caliber Risk team with challenging goals and an unwavering commitment to achieving excellence.

Essential / Desired Qualifications

Experience, education, and any certifications as necessary for successful job performance

· Master’s degree in Statistics, Quantitative/Mathematical Finance, or a related quantitative field, and a 3+ years of professional experience in the job offered or in a related role with the experience of:

§ Performing statistical analysis using a statistical modeling language such as R and/or Python.

§ Implementing models as high-quality, tested code to be used in production systems using R and/or Python.

§ Creating automated reports, visualization tools, and/or web-based dashboards using R and/or Python.

§ Performing quantitative and qualitative risk profile assessment of financial institutions and/or sovereign jurisdictions.

· Exceptionally good writing and presentation skills to translate quantitative analysis results into senior management and regulatory presentations.

· Excellent understanding of financial markets and macroeconomics, and geopolitical events.

· Demonstrate strong organizational and time-management skills, as well as critical thinking.

· Familiarity with using credit risk models under BAU and stress scenarios.

Knowledge, Skills, and Abilities / Leadership / Opportunities / Success Factors – “How”

Competencies required for successful job performance

· Ability to work diligently and with limited supervision and in close partnership with CLS Group colleagues, business, and risk management professionals, and CLS regulators.

· Ability to work efficiently and effectively in close collaboration with CLS Group executive management, Risk division colleagues while maintaining a professional and cooperative demeanor at all times.

· Ability to defend risk management recommendation/opinion clearly and logically in a committee / conference call forum.

· Ability to work positively and energetically in a small team environment, and to assist with ad-hoc management of tasks that may not be the immediate responsibility of PCr, is essential.

· A work ethic that is professional, energetic, collaborative, and forward thinking to increase the management depth and breadth of PCr and deliver priorities on a timely basis.

Success Factors / ‘How’

Personal characteristics contributing to an individual's ability to excel in the position

See Prior Section