Director, Quantitative Risk

About the role

<h1>The Opportunity</h1> <p>Nearwater Capital is seeking a Director, Quantitative Risk to serve as the primary risk authority for our Equity Total Return Swap (TRS) business, with additional oversight across the Structured Credit and Fixed Income TRS businesses.</p> <p>This is a key leadership role with responsibility for the risk framework, controls, and risk management across the organization. It demands deep, hands-on expertise in SIMM modeling and backtesting, IM/VM margin operations, and collateral management, along with fluency in the conduct, supervision, and compliance standards applicable to SBSD-registered entities.</p> <h1>What You'll Do</h1> <p><strong>Equity TRS Risk Management</strong></p> <ul> <li>Serve as the primary risk owner for the Equity TRS portfolio, covering counterparty credit risk, market risk, concentration risk, and operational risk.</li> <li>Partner closely with equity trading desks to set, monitor, and enforce risk limits and controls appropriate to TRS structures.</li> <li>Conduct deep-dive portfolio reviews to proactively identify risk concentrations, emerging exposures, and business unit-specific vulnerabilities.</li> </ul> <p><strong>Margin, Collateral & CSA/ISDA Governance</strong></p> <ul> <li>Coordinate collateral amendments and substitution requests with legal, operations, and counterparties.</li> <li>Ensure collateral practices align with SBSD capital and collateral requirements.</li> <li>Manage daily trade reconciliation processes, resolve breaks and valuation discrepancies, and implement enhanced controls.</li> <li>Verify and maintain eligible collateral schedules for derivative transactions per CSA/ISDA documentation, confirming collateral meets contractual and regulatory standards.</li> <li>Review haircuts, concentration limits, and MTA provisions across all CSAs.</li> </ul> <p><strong>Margin Operations: IM/VM & Dispute Management</strong></p> <ul> <li>Oversee initial margin (IM) and variation margin (VM) calculations, disputes, and compliance with UMR regulations in coordination with Operations.</li> <li>Lead resolution of counterparty margin disputes, investigating root causes across model differences, sensitivity inputs, netting set composition, and CSA terms.</li> <li>Ensure compliance with UMR and SEC Rule 18a-3.</li> </ul> <p><strong>SIMM Modeling & Backtesting</strong></p> <ul> <li>Own the end-to-end SIMM process for equity TRS: sensitivity inputs, IM outputs, and model documentation.</li> <li>Design and lead the backtesting program, evaluating exceedances against regulatory thresholds and driving model remediation.</li> <li>Manage ISDA SIMM version migrations, recalibration cycles, and portfolio impact assessments.</li> </ul> <p><strong>Regulatory Compliance and Supervision</strong></p> <ul> <li>Maintain current knowledge of evolving regulations including SEC/SBSD rules, UMR, EMIR, and Basel standards.</li> <li>Serve as a senior point of contact during SEC examinations and regulatory inquiries, preparing submissions, coordinating document production, and presenting risk frameworks credibly to examiners.</li> <li>Maintain Risk Management program policies and procedures.</li> </ul> <p><strong>Risk Management Framework & Governance</strong></p> <ul> <li> <ul> <li>Oversee, monitor, and continuously improve risk management processes to ensure effectiveness and implementation of best practices in the SBSD.</li> <li>Drive automation of manual processes and establish robust risk and control frameworks.</li> <li>Present regularly to the Risk Committee on material risk topics and emerging trends, and quarterly to the SBSD Board of Directors.</li> </ul> </li> </ul> <h1>What We're Looking For</h1> <ul> <li>10+ years in derivatives risk management with substantial exposure to Equity TRS business, margin operations, and collateral management.</li> <li>Deep, hands-on SIMM expertise: model mechanics, sensitivity inputs, IM aggregation, backtesting, and version migration.</li> <li>Expert knowledge of margin rules and regulations (UMR, SIMM model, IM/VM processes), with a deep understanding of CSA/ISDA documentation and eligible collateral provisions.</li> <li>Strong knowledge of industry best practices and SEC regulatory processes and requirements for regulated entities.</li> <li>Proficiency in Python, SQL, and/or R for derivatives risk analytics The listing location is New York.

Key facts

What you'll do

• <h1>The Opportunity</h1> <p>Nearwater Capital is seeking a Director, Quantitative Risk to serve as the primary risk authority for our Equity Total Return Swap (TRS) business, with additional oversight across the Structured Credit and Fixed Income TRS businesses.</p> <p>This is a key leadership role with responsibility for the risk framework, controls, and risk management across the organization.
• It demands deep, hands-on expertise in SIMM modeling and backtesting, IM/VM margin operations, and collateral management, along with fluency in the conduct, supervision, and compliance standards applicable to SBSD-registered entities.</p> <h1>What You'll Do</h1> <p><strong>Equity TRS Risk Management</strong></p> <ul> <li>Serve as the primary risk owner for the Equity TRS portfolio, covering counterparty credit risk, market risk, concentration risk, and operational risk.</li> <li>Partner closely with equity trading desks to set, monitor, and enforce risk limits and controls appropriate to TRS structures.</li> <li>Conduct deep-dive portfolio reviews to proactively identify risk concentrations, emerging exposures, and business unit-specific vulnerabilities.</li> </ul> <p><strong>Margin, Collateral & CSA/ISDA Governance</strong></p> <ul> <li>Coordinate collateral amendments and substitution requests with legal, operations, and counterparties.</li> <li>Ensure collateral practices align with SBSD capital and collateral requirements.</li> <li>Manage daily trade reconciliation processes, resolve breaks and valuation discrepancies, and implement enhanced controls.</li> <li>Verify and maintain eligible collateral schedules for derivative transactions per CSA/ISDA documentation, confirming collateral meets contractual and regulatory standards.</li> <li>Review haircuts, concentration limits, and MTA provisions across all CSAs.</li> </ul> <p><strong>Margin Operations: IM/VM & Dispute Management</strong></p> <ul> <li>Oversee initial margin (IM) and variation margin (VM) calculations, disputes, and compliance with UMR regulations in coordination with Operations.</li> <li>Lead resolution of counterparty margin disputes, investigating root causes across model differences, sensitivity inputs, netting set composition, and CSA terms.</li> <li>Ensure compliance with UMR and SEC Rule 18a-3.</li> </ul> <p><strong>SIMM Modeling & Backtesting</strong></p> <ul> <li>Own the end-to-end SIMM process for equity TRS: sensitivity inputs, IM outputs, and model documentation.</li> <li>Design and lead the backtesting program, evaluating exceedances against regulatory thresholds and driving model remediation.</li> <li>Manage ISDA SIMM version migrations, recalibration cycles, and portfolio impact assessments.</li> </ul> <p><strong>Regulatory Compliance and Supervision</strong></p> <ul> <li>Maintain current knowledge of evolving regulations including SEC/SBSD rules, UMR, EMIR, and Basel standards.</li> <li>Serve as a senior point of contact during SEC examinations and regulatory inquiries, preparing submissions, coordinating document production, and presenting risk frameworks credibly to examiners.</li> <li>Maintain Risk Management program policies and procedures.</li> </ul> <p><strong>Risk Management Framework & Governance</strong></p> <ul> <li> <ul> <li>Oversee, monitor, and continuously improve risk management processes to ensure effectiveness and implementation of best practices in the SBSD.</li> <li>Drive automation of manual processes and establish robust risk and control frameworks.</li> <li>Present regularly to the Risk Committee on material risk topics and emerging trends, and quarterly to the SBSD Board of Directors.</li> </ul> </li> </ul> <h1>What We're Looking For</h1> <ul> <li>10+ years in derivatives risk management with substantial exposure to Equity TRS business, margin operations, and collateral management.</li> <li>Deep, hands-on SIMM expertise: model mechanics, sensitivity inputs, IM aggregation, backtesting, and version migration.</li> <li>Expert knowledge of margin rules and regulations (UMR, SIMM model, IM/VM processes), with a deep understanding of CSA/ISDA documentation and eligible collateral provisions.</li> <li>Strong knowledge of industry best practices and SEC regulatory processes and requirements for regulated entities.</li> <li>Proficiency in Python, SQL, and/or R for derivatives risk analytics

Requirements

• It demands deep, hands-on expertise in SIMM modeling and backtesting, IM/VM margin operations, and collateral management, along with fluency in the conduct, supervision, and compliance standards applicable to SBSD-registered entities.</p> <h1>What You'll Do</h1> <p><strong>Equity TRS Risk Management</strong></p> <ul> <li>Serve as the primary risk owner for the Equity TRS portfolio, covering counterparty credit risk, market risk, concentration risk, and operational risk.</li> <li>Partner closely with equity trading desks to set, monitor, and enforce risk limits and controls appropriate to TRS structures.</li> <li>Conduct deep-dive portfolio reviews to proactively identify risk concentrations, emerging exposures, and business unit-specific vulnerabilities.</li> </ul> <p><strong>Margin, Collateral & CSA/ISDA Governance</strong></p> <ul> <li>Coordinate collateral amendments and substitution requests with legal, operations, and counterparties.</li> <li>Ensure collateral practices align with SBSD capital and collateral requirements.</li> <li>Manage daily trade reconciliation processes, resolve breaks and valuation discrepancies, and implement enhanced controls.</li> <li>Verify and maintain eligible collateral schedules for derivative transactions per CSA/ISDA documentation, confirming collateral meets contractual and regulatory standards.</li> <li>Review haircuts, concentration limits, and MTA provisions across all CSAs.</li> </ul> <p><strong>Margin Operations: IM/VM & Dispute Management</strong></p> <ul> <li>Oversee initial